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Dunn Capital Management - World Monetary and Agriculture (WMA)

Principal(s): William A. Dunn , Daniel Dunn, Martin Bergin & James Curley
Strategy: LT Trend Following / Revsersal
Request a Stat Report & Disclosure Document
Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++

Statistics & Program Information

Feb Return   19.58% Worst Drawdown (2)    -60.26% Minimum Investment   $10,000,000
YTD Return   30.66% Losing Streak (3)    0.00 % AUM (5)   $929,000,000
Annual CROR:1 13.06% Sharpe Ratio (4)   0.51 Calmar Ratio (6)    0.96
Trading Methodology
100% Systematic
Style Sub-Categories
Trading Style
100% Trend Following
Market Sector
19% Stock Indices
13% Currencies
26% Financials
6% Metals
11% Energies
8% Agriculturals
4% Meats
13% Softs
Holding Period
100% Long Term
50% Medium Term
Geographic Sector:
Global
Contracts:
Futures

Start Date   Nov-1984 Currency   US Dollars Margin (7)   24%
New Money   Yes AUM (5)   $929,000,000 Management Fee    0.00%
Min Investment    $10,000,000 Annual CROR 1    13.06% Incentive Fee    25.00%
Fund Minimum    $0 Losing Streak (3)    0.00 % Other Fees   None
Notional Funds    No Worst Drawdown (2)    -60.26 % Avg Comm (8)   
NFA Member    Yes Sharpe Ratio (4)    0.51 Max Comm (9)   
NFA Number    0000526 Calmar Ratio (6)    0.96 Round Turns (10)    2,000
Starting Date:  Nov-1984 Currency:  US Dollars
Open to New Investors:  Yes Current Assets:  $929,000,000
Open to US Investors:  Yes Annual CROR:  13.06%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -60.26
Minimum Managed Account:  $10,000,000 Current Losing Streak:  0.00 %
Domocile:   Calmar:  0.96
Subscriptions:  N/A Sharpe Ratio:  0.51
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  0.00% Auditor:  Not Listed
Incentive Fee:  25.00% NFA Member:  Yes
Selling Fee:  6.00% FINRA Member:  No
Other Fees:  None Other Memberships:  
Type of Fund:
Domicile:
Strategy:
Track Record Prepared By: N/A
Correlations:

Trading Description, Risk Strategy & Background

DUNN's World Monetary and Agriculture (WMA) Program is 100% systematic long-term trend-following program which began trading in November 1984. The World Monetary and Agriculture Program utilizes DUNN's original trend following algorithm developed in 1974, and encompasses a portfolio of financials, energies, metals and agricultural markets.

Daniel E. Dunn, Ph.D., M.D., Vice President, Systems Analysis. Dr. Daniel Dunn concentrates on the research and development of DUNN trading programs and risk management. His strong background in medical research and his life-long history with the firm make him well suited for DUNN's intensive research and development efforts. Prior to joining DUNN, he trained, taught, and conducted post-doctoral research at Stanford University, the National Institutes of Health, and the University of Utah.

James R. Curley, Director of Marketing. Mr. Curley's focuses on the marketing and sales of DUNN trading programs. Mr. Curley spent his first fourteen years in the futures industry with Geldermann Inc., a subsidiary of ConAgra, rising to the position of President and CEO. Over the last decade Mr. Curley has been the Managing Member and owner of Financial Consortium International LLC, a financial services company. Mr. Curley has been a member of the futures exchanges in Chicago and New York and has served on numerous futures exchange advisory boards as well as being a board member of the Futures Industry Association "FIA".

William A. Dunn, Ph.D., Chairman. Dr. Dunn founded DUNN Capital Management, Inc. ("DUNN") in October 1974 with the launching of the Standard program. He oversees all mission-critical operations of the firm, including trading system development and enhancement, as well as improvement of risk management methodologies. Dr. Dunn earned a Bachelor of Science degree in engineering physics from the University of Kansas in 1960 and a Doctor of Philosophy degree in theoretical physics from Northwestern University in 1966. After receiving his Ph.D., he held post-doctoral research and faculty positions with the University of California and Pomona College. Prior to founding DUNN, Dr. Dunn conducted operations research and systems analysis studies for the Navy, Marine Corps, Coast Guard & the Department of Defense.

Martin H. Bergin, CPA, President. Mr. Bergin manages all operational and financial activities of DUNN. His duties include overseeing day-to- day trading, directing the accounting, budgeting and long-range planning processes, and managing the human resources function. Prior to joining DUNN in 1997, Mr. Bergin was a partner in the Fairfax, Virginia-based CPA firm Homes, Lowry, Horn & Johnson, Ltd., where he managed audit, tax and consulting engagements for clients in the managed futures, banking, and defense industries.

Accounting Notes:

Track Record includes notional and proprietary funds including interest income, expenses and pro forma fees of 0% and 25%.

Monthly Performance Since November 1984

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 9.27% 19.58%   30.66% 0%
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% -17.87% -21.3%
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% 60.24% -8.25%
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% 4.12% -15.3%
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% -2.1% -11.31%
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% -16.53%

Annual Performance

Years198419851986198719881989
ROR5.09%-21.68%3.56%72.15%-18.72%30.51%
Max DD-10.95%-49.76%-26.85%-7.18%-22.66%-28.64%

Years199019911992199319941995
ROR51.55%16.91%-21.78%60.28%-19.33%98.69%
Max DD-11.23%-14.93%-25.45%-5.02%-35.08%-6.52%

Years199619971998199920002001
ROR58.21%44.60%13.72%13.34%13.08%1.10%
Max DD-17.44%-11.97%-18.05%-13.18%-41.46%-23.52%

Years200220032004200520062007
ROR54.05%-13.41%-16.68%-16.41%3.08%7.60%
Max DD-23.41%-28.86%-36.86%-27.04%-26.01%-36.36%

Years200820092010201120122013
ROR51.45%-0.58%30.75%6.36%-18.62%34.16%
Max DD-27.93%-13.11%-8.73%-22.72%-23.20%-16.99%

Years201420152016201720182019
ROR35.65%10.92%-5.39%21.74%-19.97%16.91%
Max DD-7.97%-16.64%-17.25%-7.91%-30.48%-16.53%

Years20202021202220232024 YTD
ROR-2.10%4.12%60.24%-17.87%30.66%
Max DD-11.31%-15.30%-8.25%-21.30%0.00%



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

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

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 $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

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/OR 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.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

Footnotes & Definitions:

  • P - Proprietary Trading Results
  • C - Client Trading Results
  • Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
  1. Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or 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. Annual CROR is not applicable to CTAs that sum their monthly returns.
  2. Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
  3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
  4. Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
  5. Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
  6. Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
  7. Sharpe Ratio: 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.
  8. Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
  9. Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
  10. 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.
  11. Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
  12. Minimum Investment: Minimum Investment represents the minimum account size.
  13. Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
  14. Number of Winning Months: Number of Winning Months represents the months with positive return.
  15. Number of Losing Months: Number of Losing Months represents the months with negative return.
  16. Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
  17. Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
  18. Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
  19. Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
  20. Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS