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  • Dunn Capital Management
    WMA Institutional
    Principal(s): William A. Dunn , Daniel Dunn, Martin Bergin & James Curley
    Strategy: LT Trend Following / Revsersal
  • For Additional Information Contact
    Paragon Global Markets
    Direct: (646) 937-6118
    Email: [email protected]
  • Start Date: Nov-2011
    Nov Return: 3.11%
    YTD Return: 4.40%
    Annual CROR: 4.37
  • Worst Drawdown: -15.17%
    Losing Streak: -10.06 %
    Sharpe Ratio: 0.35
    Calmar Ratio: 0.60
  • Min Investment: $25,000,000
    Currency: US Dollars
    Notional Funding: No
    NFA Number: 0000526
  • Margin: 12%
    Mgt Fee: 0.00%
    Incentive Fee: 25.00%
    Round Turns: 2,000
  • Trading Strategy: 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). Risk Strategy: N/A

    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.
  • Trading Methodology
    100% Systematic
  • Trading Style
    100% Trend Following
  • Style Sub-Categories
    Reversal
  • Holding Period
    100% Long Term
    50% Medium Term
  • Sector: Global
    Contracts: Futures
  • Market Allocation
    19% Stock Indices
    13% Currencies
    26% Financials
    6% Metals
    11% Energies
    8% Agriculturals
    4% Meats
    13% Softs
Recent Performance - Start Date of Program October 2011

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 4.74% 9.38% 1.32% -0.84% -3.83% -2.23% -0.82% -1.73% 0.55% -4.54% 3.11%   4.4% -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%
2019 -1.67% 0.85% 5.38% 0.85% 0.57% 2.15% 2.50% 5.47% -5.63% -3.02% 1.47% -0.15% 8.54% -8.48%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

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Track Record Prepared By: N/A

Footnotes:
(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.
Current Drawdown - The Current Losing Streak of the CTA, if any.
Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.
Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.
Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
Round Turns - Represents the annual number of Round Turns per $1 million.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS.
THERE IS A RISK OF LOSS IN FUTURES TRADING.

Qualified Eligible Investors - A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

LIMITATIONS OF RANKINGS ARE THAT ONLY THOSE ADVISORS OR POOL OPERATORS THAT SUBMITTED THEIR PERFORMANCE DATA TO AUTUMNGOLD WERE RATED. THE ENTIRE CTA UNIVERSE IS NOT INCLUDED IN THE RANKINGS. THE PERFORMANCE INFORMATION PROVIDED WHEREIN HAS NOT BEEN VERIFIED BY AUTUMNGOLD.