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Subject:
DUNN Capital Management, LLC - DUNN WMA Program
DUNN Capital Management, LLC
DUNN WMA Program
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
DUNN's WMA is a 100% systematic long-term trend-following program which began trading in November 1984. WMA utilizes DUNN's original trend following algorithm developed in 1974, encompassing a portfolio of financial, energy, metal and agricultural futures markets.
Performance (VAMI)
Monthly Returns
Fund Manager
DUNN Capital was founded by William A. Dunn, PhD in 1974. Bill was a pioneer in applying quantitative techniques to financial markets and developing rules-based portfolio management. He was in uncharted territory at the time, breaking new ground in choosing to be strictly data-driven in his decision making and eliminating all subjectivity and emotion.
DUNN Capital has been led since 2007 by Martin Bergin, Bill’s long-time protégé and the President and Owner of the firm. Since taking the reins, Marty has reinvigorated the firm’s focus on research and technology and has cultivated a culture of continual improvement. During this new era, DUNN has assembled a talented R&D team of 5 professional researchers and has built a new simulation technology platform from scratch. These investments have been rewarded, with the team implementing two material sets of enhancements (and numerous smaller ones) into the firm’s flagship trend following strategy, addressing all three elements of trading: entry, risk control, and exit. The changes have been highly effective in improving the strategy’s robustness and risk-adjusted performance.
Today, DUNN manages over $1B in client assets worldwide. DUNN’s goal is to offer the best in class long term systematic program that performs in the widest range of market conditions possible while still maintaining a trend-following return profile. The firm remains committed to its core principals of keeping its incentives aligned with those of its clients, staying focused on systematic scientific processes and going where the data leads.
Fund Information
Inception Date
Jan 1985
Minimum Investment
10,000,000 USD
Management Fee
0.00%
Performance Fee
25.00%
Highwater Mark
No
Phone
+1 772 286 4777
E-mail
[email protected]
Website
www.dunncapital.com
Statistics
Total Return Cumulative
9073.67%
Sharpe Ratio
0.51
Sortino Ratio
0.61
Winning Months (%)
53.56%
Correlation vs. S&P 500 TR
-0.11
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
9.27
19.58
2.46
-1.73
-7.47
-4.79
-2.19
-3.54
1.03
-8.92
0.62
2023
-8.94
11.41
-14.84
8.24
3.95
7.36
-1.11
-2.60
2.51
-6.43
-11.79
-3.42
-17.86
2022
9.14
8.45
13.52
8.41
-1.24
1.99
-6.10
13.15
7.07
0.56
-8.25
4.05
60.23
2021
-1.66
3.38
1.64
7.66
2.54
-4.50
-2.57
-0.71
1.13
8.78
-15.30
6.02
4.11
2020
0.17
-5.77
7.79
0.43
-2.87
-3.47
-1.20
1.67
-5.22
-0.22
-0.43
8.01
-2.12
2019
-3.44
1.59
10.88
1.57
0.99
4.28
4.89
12.10
-11.16
-6.04
2.86
-0.47
16.91
2018
10.72
-19.66
-0.38
5.80
-6.78
1.38
-1.54
3.71
2.63
-11.96
-5.85
3.96
-19.98
2017
-0.46
5.94
-0.92
-0.29
-0.74
-3.14
-2.54
-0.48
0.23
14.11
3.38
6.14
21.92
2016
4.16
2.52
-4.04
-3.38
0.16
12.42
0.38
-3.54
1.46
-12.18
-3.72
2.17
-5.39
2015
8.52
-3.87
9.30
-10.78
4.65
-10.72
16.60
-2.41
4.97
-3.85
6.10
-4.24
10.91
2014
-4.35
-1.76
-1.91
2.23
-2.33
4.04
-1.12
9.83
7.04
0.22
13.43
7.22
35.67
2013
-0.23
16.79
3.22
10.59
-6.67
-1.66
-0.45
-4.81
-4.56
5.81
10.00
4.40
34.16
2012
-3.10
-4.96
-2.96
2.77
7.69
-13.23
4.53
-4.17
-4.37
-6.59
3.23
2.64
-18.63
2011
3.69
6.17
-12.06
11.78
-10.05
-12.59
19.93
10.40
-2.64
-9.00
5.26
1.25
6.37
2010
-6.61
3.97
9.83
4.22
-7.26
5.02
-4.39
16.96
-1.44
8.22
-8.73
10.95
30.74
2009
0.89
3.07
-3.05
-4.65
-1.08
-4.98
1.84
3.16
4.54
-4.14
11.00
-5.84
-0.58
2008
19.94
29.55
-10.13
-6.55
1.67
3.56
-10.18
-9.26
1.02
21.09
7.77
2.59
51.45
2007
6.21
-8.30
-3.36
8.22
11.77
7.39
-17.75
-22.63
16.90
3.00
7.78
6.55
7.58
2006
-3.63
-1.37
12.42
9.38
-7.78
-1.63
-5.69
-8.76
-5.22
5.93
4.33
7.86
3.08
2005
-4.09
-6.72
-4.04
-15.01
13.03
12.23
-1.89
-5.46
-3.51
-0.94
6.00
-3.88
-16.39
2004
-2.86
8.38
-2.90
-18.35
-6.84
-9.86
-5.16
9.29
1.58
7.93
5.32
-0.69
-16.69
2003
6.94
13.83
-22.44
1.57
9.45
-8.07
-4.75
16.70
-7.63
-4.23
-4.45
-4.47
-13.40
2002
3.03
-8.07
2.39
-5.71
5.41
24.24
14.82
10.50
9.10
-12.27
-12.70
21.34
54.05
2001
7.72
0.55
6.26
-8.96
-0.91
-8.31
0.09
6.47
1.13
20.74
-23.52
6.73
1.12
2000
6.85
-2.94
-17.34
-12.36
-7.59
-3.95
0.56
3.29
-9.70
9.12
28.04
29.39
13.07
1999
-13.18
3.91
4.22
4.09
7.63
9.61
0.52
5.77
3.60
-7.01
1.35
-5.44
13.33
1998
4.25
-5.30
3.99
-11.05
-4.76
-0.38
-1.37
27.51
16.18
3.79
-13.72
0.32
13.73
1997
17.83
-0.15
2.21
-6.47
-5.88
10.38
16.84
-10.21
6.45
-0.64
9.82
1.55
44.60
1996
15.78
-13.33
9.55
9.17
-1.18
0.60
-12.40
-5.20
12.55
20.28
26.94
-7.09
58.19
1995
0.49
13.71
24.41
3.80
-2.60
-3.59
0.63
18.46
-6.52
10.82
11.16
4.44
98.66
1994
-1.71
-5.34
14.90
6.97
5.21
3.29
-13.38
-17.67
-4.68
-1.02
0.74
-4.22
-19.32
1993
2.90
13.99
-3.28
12.37
3.76
0.58
7.41
8.42
-5.02
1.59
1.03
6.10
60.25
1992
-14.53
-0.90
4.04
-15.10
-0.36
13.04
11.43
9.18
-8.23
-5.42
-4.30
-8.15
-21.78
1991
-7.05
-4.51
10.30
-4.49
-4.99
-0.46
-2.54
9.93
9.23
-14.93
1.20
31.22
16.91
1990
23.45
5.35
6.11
6.80
-11.23
3.99
1.37
2.07
3.76
-0.40
5.44
-1.19
51.57
1989
21.10
-4.23
9.30
6.09
20.02
3.21
8.15
-13.02
-1.56
-16.65
7.34
-5.42
30.54
1988
0.73
4.34
-6.55
-2.47
3.88
-0.56
-1.83
-2.65
1.98
1.92
-0.72
-16.70
-18.71
1987
8.81
-1.75
7.18
31.63
-2.69
-4.61
5.97
-2.98
5.50
-5.59
17.76
1.96
72.14
1986
-1.50
24.55
11.93
-5.59
-5.98
-13.98
-4.20
12.45
0.64
-2.79
-6.18
-0.11
3.56
1985
6.23
10.03
-7.25
-13.09
21.66
-6.79
-8.36
-13.48
-30.68
6.69
13.61
10.02
-21.69
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled
Monthly Returns
Performance (VAMI)
Distribution of Monthly Returns
12 Month Rolling ROR
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
AUM
Volatility (12 Months Rolling)
Risk/Return Comparison
Drawdown
Instruments
No data filled
Return Statistics
Last Month
-8.92%
Year To Date
0.62%
3 Month ROR
-11.24%
12 Months ROR
-14.27%
36 Month ROR
18.93%
Total Return Cumulative
9073.67%
Total Return Annualized
12.01%
Best Month
31.63%
Winning Months (%)
53.56%
Gain Deviation
6.57
Risk Statistics
Standard Deviation Annualized
31.70%
Max Drawdown (Monthly)
-60.26%
Max Drawdown # of Months
90
Worst Month
-30.68%
Losing Months (%)
46.44%
Average Losing Month
-6.13%
Loss Deviation
5.09
Correlation vs S&P 500
-0.11
Correlation vs DJ/CS MF
0.77
Risk/Reward Statistics
Sharpe Ratio
0.51
Sortino Ratio
0.61
Omega Ratio
1.16
Skewness
0.33
Kurtosis
0.88
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-60.26%
-
54
-
36
-
03/2003
-
08/2010
-
2
-49.76%
-
7
-
19
-
03/1985
-
04/1987
-
3
-44.26%
-
12
-
3
-
10/1999
-
12/2000
-
4
-35.08%
-
6
-
8
-
07/1994
-
08/1995
-
5
-30.48%
-
10
-
39
-
02/2018
-
02/2022
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
31.63%
-30.68%
1.36%
0.69%
-8.92%
53.56%
3 Months
80.78%
-45.04%
4.19%
1.50%
-11.24%
53.57%
6 Months
114.85%
-45.83%
8.14%
4.97%
-23.52%
61.52%
1 Year
128.89%
-44.26%
16.08%
10.91%
-14.27%
70.45%
2 Years
268.48%
-46.97%
35.09%
29.99%
-21.09%
80.88%
3 Years
371.40%
-52.90%
56.55%
44.44%
18.93%
88.26%
5 Years
527.66%
-50.95%
106.84%
77.99%
38.16%
91.41%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
12.01%
40.60%
100.23%
331.07%
1955.08%
9350.19%
% Positive
53.56%
53.57%
61.52%
70.45%
80.88%
88.26%
Avg. Pos. Period
7.86%
15.79%
20.61%
28.28%
47.03%
66.71%
Avg. Neg. Period
-6.13%
-9.19%
-11.81%
-13.00%
-15.43%
-19.87%
Sharpe Ratio
0.51
0.86
1.25
2.02
2.74
3.14
Sortino Ratio
0.61
1.23
2.21
5.04
11.17
18.62
Standard Deviation
9.15%
16.96%
22.51%
27.55%
44.31%
62.32%
Downside Deviation
5.43%
8.12%
9.32%
8.89%
8.89%
8.57%
No data filled
Fund Information
Minimum Investment
10,000,000 USD
AUM
718,000,000 USD
Management Fee
0.00%
Performance Fee
25.00%
Highwater Mark
No
RT per Million
1000
Margin to Equity
24.00%
Legal Structure
Managed Account
Investment Restriction
None
Company Information
Company
DUNN Capital Management, LLC
Principal
Marty Bergin
Phone
+1 772 286 4777
E-mail
[email protected]
License Number
NFA 526
Location
Stuart, United States
Performance Compiled by
-
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
9.27
19.58
2.46
-1.73
-7.47
-4.79
-2.19
-3.54
1.03
-8.92
0.62
2023
-8.94
11.41
-14.84
8.24
3.95
7.36
-1.11
-2.60
2.51
-6.43
-11.79
-3.42
-17.86
2022
9.14
8.45
13.52
8.41
-1.24
1.99
-6.10
13.15
7.07
0.56
-8.25
4.05
60.23
2021
-1.66
3.38
1.64
7.66
2.54
-4.50
-2.57
-0.71
1.13
8.78
-15.30
6.02
4.11
2020
0.17
-5.77
7.79
0.43
-2.87
-3.47
-1.20
1.67
-5.22
-0.22
-0.43
8.01
-2.12
2019
-3.44
1.59
10.88
1.57
0.99
4.28
4.89
12.10
-11.16
-6.04
2.86
-0.47
16.91
2018
10.72
-19.66
-0.38
5.80
-6.78
1.38
-1.54
3.71
2.63
-11.96
-5.85
3.96
-19.98
2017
-0.46
5.94
-0.92
-0.29
-0.74
-3.14
-2.54
-0.48
0.23
14.11
3.38
6.14
21.92
2016
4.16
2.52
-4.04
-3.38
0.16
12.42
0.38
-3.54
1.46
-12.18
-3.72
2.17
-5.39
2015
8.52
-3.87
9.30
-10.78
4.65
-10.72
16.60
-2.41
4.97
-3.85
6.10
-4.24
10.91
2014
-4.35
-1.76
-1.91
2.23
-2.33
4.04
-1.12
9.83
7.04
0.22
13.43
7.22
35.67
2013
-0.23
16.79
3.22
10.59
-6.67
-1.66
-0.45
-4.81
-4.56
5.81
10.00
4.40
34.16
2012
-3.10
-4.96
-2.96
2.77
7.69
-13.23
4.53
-4.17
-4.37
-6.59
3.23
2.64
-18.63
2011
3.69
6.17
-12.06
11.78
-10.05
-12.59
19.93
10.40
-2.64
-9.00
5.26
1.25
6.37
2010
-6.61
3.97
9.83
4.22
-7.26
5.02
-4.39
16.96
-1.44
8.22
-8.73
10.95
30.74
2009
0.89
3.07
-3.05
-4.65
-1.08
-4.98
1.84
3.16
4.54
-4.14
11.00
-5.84
-0.58
2008
19.94
29.55
-10.13
-6.55
1.67
3.56
-10.18
-9.26
1.02
21.09
7.77
2.59
51.45
2007
6.21
-8.30
-3.36
8.22
11.77
7.39
-17.75
-22.63
16.90
3.00
7.78
6.55
7.58
2006
-3.63
-1.37
12.42
9.38
-7.78
-1.63
-5.69
-8.76
-5.22
5.93
4.33
7.86
3.08
2005
-4.09
-6.72
-4.04
-15.01
13.03
12.23
-1.89
-5.46
-3.51
-0.94
6.00
-3.88
-16.39
2004
-2.86
8.38
-2.90
-18.35
-6.84
-9.86
-5.16
9.29
1.58
7.93
5.32
-0.69
-16.69
2003
6.94
13.83
-22.44
1.57
9.45
-8.07
-4.75
16.70
-7.63
-4.23
-4.45
-4.47
-13.40
2002
3.03
-8.07
2.39
-5.71
5.41
24.24
14.82
10.50
9.10
-12.27
-12.70
21.34
54.05
2001
7.72
0.55
6.26
-8.96
-0.91
-8.31
0.09
6.47
1.13
20.74
-23.52
6.73
1.12
2000
6.85
-2.94
-17.34
-12.36
-7.59
-3.95
0.56
3.29
-9.70
9.12
28.04
29.39
13.07
1999
-13.18
3.91
4.22
4.09
7.63
9.61
0.52
5.77
3.60
-7.01
1.35
-5.44
13.33
1998
4.25
-5.30
3.99
-11.05
-4.76
-0.38
-1.37
27.51
16.18
3.79
-13.72
0.32
13.73
1997
17.83
-0.15
2.21
-6.47
-5.88
10.38
16.84
-10.21
6.45
-0.64
9.82
1.55
44.60
1996
15.78
-13.33
9.55
9.17
-1.18
0.60
-12.40
-5.20
12.55
20.28
26.94
-7.09
58.19
1995
0.49
13.71
24.41
3.80
-2.60
-3.59
0.63
18.46
-6.52
10.82
11.16
4.44
98.66
1994
-1.71
-5.34
14.90
6.97
5.21
3.29
-13.38
-17.67
-4.68
-1.02
0.74
-4.22
-19.32
1993
2.90
13.99
-3.28
12.37
3.76
0.58
7.41
8.42
-5.02
1.59
1.03
6.10
60.25
1992
-14.53
-0.90
4.04
-15.10
-0.36
13.04
11.43
9.18
-8.23
-5.42
-4.30
-8.15
-21.78
1991
-7.05
-4.51
10.30
-4.49
-4.99
-0.46
-2.54
9.93
9.23
-14.93
1.20
31.22
16.91
1990
23.45
5.35
6.11
6.80
-11.23
3.99
1.37
2.07
3.76
-0.40
5.44
-1.19
51.57
1989
21.10
-4.23
9.30
6.09
20.02
3.21
8.15
-13.02
-1.56
-16.65
7.34
-5.42
30.54
1988
0.73
4.34
-6.55
-2.47
3.88
-0.56
-1.83
-2.65
1.98
1.92
-0.72
-16.70
-18.71
1987
8.81
-1.75
7.18
31.63
-2.69
-4.61
5.97
-2.98
5.50
-5.59
17.76
1.96
72.14
1986
-1.50
24.55
11.93
-5.59
-5.98
-13.98
-4.20
12.45
0.64
-2.79
-6.18
-0.11
3.56
1985
6.23
10.03
-7.25
-13.09
21.66
-6.79
-8.36
-13.48
-30.68
6.69
13.61
10.02
-21.69
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Strategy Description
DUNN's WMA is a 100% systematic long-term trend-following program which began trading in November 1984. WMA utilizes DUNN's original trend following algorithm developed in 1974, encompassing a portfolio of financial, energy, metal and agricultural futures markets.
Return Statistics
Last Month
-8.92%
Year To Date
0.62%
3 Month ROR
-11.24%
12 Months ROR
-14.27%
36 Month ROR
18.93%
Total Return Cumulative
9073.67%
Total Return Annualized
12.01%
Best Month
31.63%
Winning Months (%)
53.56%
Gain Deviation
6.57
Risk Statistics
Standard Deviation Annualized
31.70%
Max Drawdown (Monthly)
-60.26%
Max Drawdown # of Months
90
Worst Month
-30.68%
Losing Months (%)
46.44%
Average Losing Month
-6.13%
Loss Deviation
5.09
Correlation vs S&P 500
-0.11
Correlation vs DJ/CS MF
0.77
Risk/Reward Statistics
Sharpe Ratio
0.51
Sortino Ratio
0.61
Omega Ratio
1.16
Skewness
0.33
Kurtosis
0.88
Monthly Returns
Performance (VAMI)
Fund Manager
DUNN Capital was founded by William A. Dunn, PhD in 1974. Bill was a pioneer in applying quantitative techniques to financial markets and developing rules-based portfolio management. He was in uncharted territory at the time, breaking new ground in choosing to be strictly data-driven in his decision making and eliminating all subjectivity and emotion.
DUNN Capital has been led since 2007 by Martin Bergin, Bill’s long-time protégé and the President and Owner of the firm. Since taking the reins, Marty has reinvigorated the firm’s focus on research and technology and has cultivated a culture of continual improvement. During this new era, DUNN has assembled a talented R&D team of 5 professional researchers and has built a new simulation technology platform from scratch. These investments have been rewarded, with the team implementing two material sets of enhancements (and numerous smaller ones) into the firm’s flagship trend following strategy, addressing all three elements of trading: entry, risk control, and exit. The changes have been highly effective in improving the strategy’s robustness and risk-adjusted performance.
Today, DUNN manages over $1B in client assets worldwide. DUNN’s goal is to offer the best in class long term systematic program that performs in the widest range of market conditions possible while still maintaining a trend-following return profile. The firm remains committed to its core principals of keeping its incentives aligned with those of its clients, staying focused on systematic scientific processes and going where the data leads.
Distribution of Monthly Returns
12 Month Rolling ROR
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-60.26%
-
54
-
36
-
03/2003
-
08/2010
-
2
-49.76%
-
7
-
19
-
03/1985
-
04/1987
-
3
-44.26%
-
12
-
3
-
10/1999
-
12/2000
-
4
-35.08%
-
6
-
8
-
07/1994
-
08/1995
-
5
-30.48%
-
10
-
39
-
02/2018
-
02/2022
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
31.63%
-30.68%
1.36%
0.69%
-8.92%
53.56%
3 Months
80.78%
-45.04%
4.19%
1.50%
-11.24%
53.57%
6 Months
114.85%
-45.83%
8.14%
4.97%
-23.52%
61.52%
1 Year
128.89%
-44.26%
16.08%
10.91%
-14.27%
70.45%
2 Years
268.48%
-46.97%
35.09%
29.99%
-21.09%
80.88%
3 Years
371.40%
-52.90%
56.55%
44.44%
18.93%
88.26%
5 Years
527.66%
-50.95%
106.84%
77.99%
38.16%
91.41%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
12.01%
40.60%
100.23%
331.07%
1955.08%
9350.19%
% Positive
53.56%
53.57%
61.52%
70.45%
80.88%
88.26%
Avg. Pos. Period
7.86%
15.79%
20.61%
28.28%
47.03%
66.71%
Avg. Neg. Period
-6.13%
-9.19%
-11.81%
-13.00%
-15.43%
-19.87%
Sharpe Ratio
0.51
0.86
1.25
2.02
2.74
3.14
Sortino Ratio
0.61
1.23
2.21
5.04
11.17
18.62
Standard Deviation
9.15%
16.96%
22.51%
27.55%
44.31%
62.32%
Downside Deviation
5.43%
8.12%
9.32%
8.89%
8.89%
8.57%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
AUM
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