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Key Points

  • Bill Dunn’s attitude captures the essence of Trend Following. His performance data is one of the clearest, most consistent, most dramatic demonstrations of Trend Following success available.

  • Dunn Capital Management goes short as often as they go long.

  • Dunn Capital Management’s average rolling 60-month period has yielded a return of about 231 percent.

  • For holding periods of approximately 3.75 years and beyond all returns are positive at the firm.

  • Dunn Capital Management’s designed risk is a 1 percent chance of a 20 percent or greater loss in a month.

  • On a dollar-weighted composite basis, a hypothetical investment of $1000 in Dunn Capital Management from October 1974 through April 2003 would have grown to $439,004, a compound annual return of 23.72 percent after all fees and expenses. The S&P 500 grew to $38,119 over the same period.[26]

    “Men’s expectations manifest in trends.”

    John W. Henry[27]


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