Autumn Gold Retail Report Report Start Date: Jan-2020 - Report End Date: Oct-2025 Print to PDF
DUNN Capital Management - WMA Institutional
Trading Strategy: LT Trend Following / Revsersal
Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only
Performance Since January 2020 | Track Record Compiled By: N/A | Please See Accounting Notes
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
ROR
Max DD
2025
3.41%
-2.55%
-3.44%
-1.53%
-1.90%
-1.24%
1.55%
0.76%
5.50%
0.25%
–
–
0.47%
-10.23%
2024
4.74%
9.38%
1.32%
-0.84%
-3.83%
-2.23%
-0.82%
-1.73%
0.55%
-4.54%
3.11%
0.52%
4.94%
-12.78%
2023
-4.54%
5.59%
-7.18%
4.12%
2.03%
3.44%
-0.52%
-1.27%
1.24%
-3.29%
-6.06%
-1.68%
-8.69%
-11.18%
2022
4.59%
3.65%
6.66%
4.19%
-0.61%
1.05%
-3.07%
6.44%
3.53%
0.31%
-4.18%
2.09%
26.83%
-4.18%
2021
-1.16%
1.73%
0.87%
3.76%
1.32%
-2.21%
-1.18%
-0.31%
0.62%
4.32%
-7.75%
3.07%
2.52%
-7.75%
2020
0.19%
-2.71%
3.82%
0.22%
-1.42%
-1.70%
-0.59%
0.85%
-2.63%
-0.08%
-0.16%
3.92%
-0.56%
-5.65%
Program Description: WMA Institutional is a fully diversified 100% systematic medium to long-term trend following program, encompassing a portfolio of financial, energy, metal and agricultural futures markets. WMA Institutional is a compounded growth strategy. The investment objective is to extract profits from up and down trends, resulting in a return stream that exhibits very low correlation with traditional asset classes. WMA Institutional targets 1/2 the volatility of DUNN's flagship WMA Program and is expected to average ~11.5% annually over time (vs. ~23% for the standard WMA Program).
Program Statistics
Peak-to-Valley Drawdown (2)
-16.08%
From Mar 2024 to Jun 2025
Worst Month (Feb 2018)
-9.66%
Current Losing Streak
-9.18%
Average Monthly Return
0.39%
Annualized Performance
Compound ROR (1)
4.15%
Standard Deviation
11.23%
Sharpe Ratio
0.38
Sterling Ratio
-0.09
Calmar Ratio (3)
-0.12
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
Autumn Gold Retail Report Report Start Date: Jan-2020 - Report End Date: Oct-2025 Print to PDF
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
Autumn Gold Retail Report Report Start Date: Jan-2020 - Report End Date: Oct-2025 Print to PDF
Accounting Notes
Previously: From inception of WMA Institutional in Oct 2011 through mid-Jan 2013, the program targeted a 12% annualized volatility. Currently: Beginning Jan 2013, WMA Institutional targets 1/2 the volatility of the WMA Program. In mid-Jan 2013 DUNN's research team implemented a new risk management methodology to replace the previously fixed value at risk ("VaR") target. The new risk management methodology, referred to as the Adaptive Risk Profile ("ARP"), gears the portfolio's VaR to current market conditions. Under ARP, VaR is recalibrated daily based on a proprietary metric that incorporates trend confidence, volatility and market correlations and serves to size WMA's portfolio positions accordingly. VaR at the 99% confidence level is in the range of -11% to -4%, with an average VaR of -8%. This risk management methodology improvement is expected to reduce WMA's downside deviation by about 25%, with no adverse impact on upside performance.
An Important Note on the Start Date and End Date of this Report
If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.
Performance Results reported or amended subsequent to Friday December 5, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.
Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.
Qualified Eligible Persons: THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:
1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.
Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth. 2) Peak to Valley Drawdown = worst % loss between Jan-2020 and Oct-2025 3) Calmar Ratio uses the last 36 months of data.
Benchmark Descriptions
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report was prepared from trader-provided information and is believed to be reliable.
It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
