Montlake DUNN WMA Institutional

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.

Fund type Offshore Regulated
Asset class Absolute Return
Sector Directional Trading
Managed by Martin H. Bergin, Roberto Osorio Ph.D. & & Daniel E. Dunn, M.D., Ph.D.
Held in EQ PortfoliosBest Ideas Cautious
Best Ideas Balanced Plus
Best Ideas Cautious Plus
Absolute Return
Best Ideas Balanced
Best Ideas Adventurous

Manager Profile

Martin H. Bergin is the President and Owner of DUNN. He oversees all mission-critical operations of the firm; directing the firm’s research and development efforts as well as the construction and management of the firm’s managed futures portfolios. He also manages all operational and financial activities of DUNN. Mr. Bergin holds a B.S. in Business Administration from George Mason University.

Roberto Osorio Ph.D. is Vice President, Trading Systems at DUNN. Dr. Osorio co-directs the development of trading systems and risk-control tools. He holds a B.S. and a M.S. in Physics from the Federal University of Pernambuco in Recife, Brazil, and a Ph.D. in Physics from the University of California at Berkeley.

Daniel E. Dunn, M.D., Ph.D. is Vice President, Research at DUNN. Dr. Dunn co-directs the development of trading systems and risk-control tools. He holds a B.A. in Biological Sciences from the University of Virginia, a Ph.D. in Immunology from the University of Chicago, and an M.D. from the University of Chicago.

Fund performance

DUNN Capital Management

The firm was founded by Dr. William A. Dunn, a pioneer in the managed futures industry. Based on Dr. Dunn’s original efforts to apply computer technology to portfolio management, DUNN is the managed futures industry’s second-oldest firm, having been managing capital continuously since 1974. Dr Dunn retired from day to day involvement in the research process, handing over to his son, Dr Daniel Dunn and Dr Roberto Osorio who have been working together for over a decade.