MontLake DUNN WMA Institutional UCITS Fund

A 100% systematic trend following program that is adaptive to the market risk environment and the trend characteristics prevalent at any time. The portfolio encompasses global financial, energy, metal and agriculture futures markets.

The financial markets are known to exhibit trends or momentum over time. These trends develop and evolve in different ways and over different lengths of time, so there are most often investment strategies that focus on the medium to long term element of these trends, being the simplest to measure and capture.

DUNN uses a systematic, computerised investment process designed to identify and follow trends. It uses a combination of methodologies that adapt the time frame upon which the system focuses while also systematically dialling up and dialling down the amount of risk taken in each market and with the fund overall based on the market risk environment and the trend characteristics of each market at any given point in time.

We like the fund since by comparison to peers, it uses a number of similar sophisticated strategies for dealing with different degrees of “trend signal strength”. However, we believe it has a more adaptive nature when it comes to dealing with the time frame over which trends are measured. This feeds through into the fund’s better risk-adjusted return over the long term and better “crash protection” in equity market downturns.