MontLake DUNN WMA Institutional UCITS

Investment Objective

The investment objective of the DUNN WMA Institutional UCITS Fund is to extract profits from up and down-trends, resulting in a return stream that exhibits very low correlation with traditional asset classes such as stocks, bonds and real estate. In order to achieve this objective, the fund will seek exposure to the DUNN WMA (World Monetary & Agriculture) Institutional Program which is a 100% systematic medium to long-term trend following program, trading a highly diversified portfolio of globally exchange traded futures across the following sectors Agricultural, Stock Indices, Long-term Interest Rates, Currencies, Energies, Short-term Interest Rates, Metals and Volatility.

Latest Meeting Note

Meeting 23 Apr 2020

DUNN WMA Institutional UCITS is a systematic medium to long-term trend following program encompassing a portfolio of equities, rates, currencies and commodities (key to portfolio construction). The strategy manages about $1 billion in as...

DUNN WMA Institutional UCITS is a systematic medium to long-term trend following program encompassing a portfolio of equities, rates, currencies and commodities (key to portfolio construction). The strategy manages about $1 billion in assets across the flagship program and the UCITS fund (run with half of the leverage). The firm does not charge a management fee (for the UCITS the AMC is the platform fee). The program is managed by a very experienced investment team, with more than 45-year track record (one of the longest in the space). Albeit the fund remains faithful to traditional medium-term trend following systems, the strategy has evolved over time to overcome some the key weaknesses of trend following (i.e. how to manage trendless markets and reversals). These improvements include advanced parameters re-calibration (2006), the addition of a (faster) time series momentum-based model to complement the core price-based volatility breakout model (2009), and the implementation of an adaptive risk program (2013). The adaptive risk program aims to maximise the risk-adjusted profile of the strategy by optimising entries/exits at the instrument level, while also acting as a portfolio risk mitigation tool when the opportunity set for the strategy worsen (e.g. in trendless market). The UCITS program targets 12% annualised volatility.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.8 0.8 0.9 0.6 0.6 0.9 0.4 0.4 0.9 0.3 0.3 0.9 0.5
2022 0.7 0.9 0.9 0.3 0.5 0.4 0.0 1.0 0.9 0.2 0.6 0.2 0.1

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