Dunn Capital Management
WMA Institutional
Principal(s): Martin Bergin
Strategy: LT Trend Following / Revsersal
Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
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).
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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 protege 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 $1.4B 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.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.70% | 2.95% | -3.11% | 3.33% | 0.17% | -2.09% | -0.43% | – | – | – | – | – | 4.38% | -3.11% |
| 2025 | 3.41% | -2.55% | -3.44% | -1.53% | -1.90% | -1.24% | 1.55% | 0.76% | 5.50% | 0.25% | 1.36% | 2.62% | 4.50% | -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% |
| 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% |
| 2018 | 5.41% | -9.66% | -0.10% | 2.81% | -3.24% | 0.75% | -0.63% | 1.85% | 1.41% | -5.92% | -2.87% | 2.01% | -8.79% | -15.17% |
| 2017 | -0.24% | 2.88% | -0.42% | -0.08% | -0.30% | -1.50% | -1.20% | -0.13% | 0.19% | 6.93% | 1.81% | 2.66% | 10.81% | -3.58% |
| 2016 | 2.11% | 1.20% | -1.75% | -1.66% | 0.13% | 6.10% | 0.41% | -1.48% | 0.90% | -6.48% | -1.49% | 1.20% | -1.28% | -8.42% |
| 2015 | 4.18% | -1.89% | 4.56% | -5.48% | 2.58% | -5.53% | 7.92% | -1.27% | 2.54% | -1.95% | 3.05% | -2.07% | 5.83% | -8.40% |
| 2014 | -1.77% | -0.74% | -0.93% | 1.14% | -1.15% | 2.04% | -0.48% | 4.62% | 3.55% | 0.19% | 6.45% | 3.57% | 17.36% | -3.43% |
| 2013 | 0.14% | 8.05% | 1.46% | 4.25% | -3.36% | -0.69% | -0.11% | -2.25% | -2.28% | 3.00% | 4.81% | 2.22% | 15.65% | -8.43% |
| 2012 | -1.10% | -2.01% | -0.67% | 1.16% | 3.00% | -5.13% | 1.86% | -1.52% | -1.85% | -2.54% | 1.10% | 0.75% | -7.00% | -8.97% |
| 2011 | – | – | – | – | – | – | – | – | – | -4.88% | 2.94% | 0.55% | -1.55% | -4.88% |
Track Record Compiled By: 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.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.