309 SE Osceola St., Suite 350, Stuart, FL 34994 info@dunncapital.com 772-781-3290

WORLD MONETARY & AGRICULTURE “WMA” PROGRAM

WMA INSTITUTIONAL “WMAI” PROGRAM
(1/2 LEVERAGE)

Strategy
  • Medium to long-term, trend following system.
  • Quantitative, statistical and 100% systematic. No discretionary override of computer-generated signals.
  • Extracts profits from up & down trends, with no long or short bias.
  • Designed to capture major trends & scale risk exposure to current market conditions.

Commodities

Brent Crude
Cocoa
Coffee
Copper
Corn
Cotton
Crude Oil
Gas Oil
Gold
Heating Oil
Lean Hogs
Live Cattle
Natural Gas
Silver
Soybean Meal
Soybean Oil
Soybeans
Sugar
Unleaded Gas
Wheat (CBOT)
Wheat (KC)
Diversification

Portfolio is comprised of equity, fixed income, currency, energy, metal, agricultural and volatility futures markets (55 total).

Positions taken in regulated, exchange-traded, high-volume markets.

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CURRENCIES

Aussie Dollar
British Pound
Canadian Dollar
Euro
Japanese Yen
Mexican Peso
Swiss Franc

INTEREST RATES

Aussie 3 Year
Aussie 10 Year
Bobl
Euro Dollars
German Bund
Life Euribor
Long Gilt

Schatz
Short Sterling
TSE JGB
U.S. 2 Year
U.S. 5 Year
U.S. 10 Year
U.S. Bonds

EQUITIES

ASX SPI 200
CAC 40
Dow Jones
NASDAQ
Osaka Nikkei
S&P 500

Euro Stoxx
FT-SE 100
German Dax
Topix
Hang Seng

VOLATILITY

VIX
S&P 500 (Hedge)
S&P 500 Options

Risk Management – Adaptive Risk Profile (“ARP”)
  • The strategy utilizes a dynamic risk management methodology referred to as the Adaptive Risk Profile (“ARP”) gears the portfolio’s exposure to current market conditions.
  • ARP serves to establish the size of the strategy’s portfolio positions based on a proprietary metric that incorporates trend confidence, volatility and inter-market correlations.
  • The strategy’s risk target varies daily and is high only when a preponderance of signals are in agreement and the correlation matrix of the portfolio’s positions is favorable.
Value at Risk (WMA)

Monthly VaR at the 99% confidence level is expected to be in the range of 22% to 8%, with an average monthly VaR of 15%.  This translates into an annualized volatility of ~23% over time.

Value at Risk (WMAI)

Monthly VaR at the 99% confidence level is expected to be in the range of 11% to 4%, with an average monthly VaR of 7.5%.  This translates into an annualized volatility of ~11.5% over time.

Investment Vehicles (WMA)
  • Pooled Fund – $100k minimum
  • Offshore Fund (Bermuda) – $100k minimum
  • Separately Managed Account – $10M minimum
  • Mutual Fund – Arrow Funds
Investment Vehicles (WMAI)
  • Offshore Fund (Bermuda) – $100k minimum
  • Separately Managed Account – $25M minimum
  • DUNN WMA UCITS Fund – Montlake UCITS Platform