Methodology

Program Characteristics

DUNN programs are 100% systematic and quantitative. There is no discretionary aspect to DUNN-traded programs and trading signals are never over-ridden.

Trading Strategies

DUNN’s WMA program utilizes a long-term trend following strategy, encompassing a portfolio of financial, energy, metal and agricultural futures markets.  The program is almost always invested, either long or short, in each market it trades. The WMA program seeks to extract profits from up and down trends, resulting in a stream that exhibits a low correlation with traditional asset classes. WMA’s average holding period is approximately 6 months.

 


Non-Correlation

All DUNN programs are non-correlated to traditional asset classes (equities, bonds, real estate, etc.) In addition, DUNN programs have historically performed well during equity market dislocations as evidenced in the following chart.  Since October 1984, when the DUNN World Monetary & Agriculture ("WMA") Program began trading, the S&P has lost more than 6% in a single month on 25 occasions. The average performance of the S&P during those months was -9.0%. By comparison, the Barclay CTA index gained 1.9%, while the WMA program gained 8.2%.

Risk Profile/Volatility

DUNN uses an Adaptive Risk Profile ("ARP") for its risk management process.  ARP serves to establish the size of portfolio positions and is re-calibrated daily based on a proprietary metric that incorporates expected returns, volatility and market correlations.  Extensive simulations show a VaR in the range of 1:100 < -22% to 1:100 < -8%, with an average VaR of 1:100 < -15%. 

 Client Focused

DUNN programs charge incentive fees of 25% on net new trading profits. DUNN does not charge management fees. DUNN principals have the majority of their net worth invested in the DUNN programs. DUNN’s interests are perfectly aligned with the interests of its clients.