Dunn is profiled here.
The word “meltdown” applied to Dunn Capital requires context. Bill Dunn’s operation ran a 100% mechanical trend following system with no discretionary overrides across global futures markets for decades. Like every systematic trend following operation, it experienced significant drawdowns. Those drawdowns were not evidence of a failing system. They were the expected structural feature of an approach that holds winning positions through volatility and exits losing ones at predefined levels. The large profits came from the same willingness to hold positions through temporary adverse movement that also produced the drawdown periods.
Dunn Capital’s record includes some of the most dramatic return figures in the history of systematic trading alongside some of the most dramatic drawdowns. Both are features of the same approach. A system that cannot produce large drawdowns cannot produce large wins, because the mechanism is identical: staying in a position beyond the point of comfort. Understanding this is prerequisite to evaluating any systematic trend following manager honestly.
For the full documented record of Dunn Capital, its returns, its drawdowns, the specific trades that drove both, and what the complete picture tells us about systematic trend following, see the Dunn Capital trader profile. For the broader context of how drawdowns function within a complete trend following system, see the drawdown page. For the returns and fees detail, see Dunn Capital returns and fees.
Frequently Asked Questions
Did Dunn Capital experience a meltdown?
Dunn Capital experienced significant drawdowns, as every systematic trend following operation does. These drawdowns were not failures of the system but structural features of an approach that holds positions through adverse periods to capture large sustained trends. The same mechanism that produced the drawdowns also produced some of the highest annual returns in the history of systematic trading. For the complete record, see the full Dunn Capital profile.
Why do systematic trend following operations experience large drawdowns?
Because the approach requires holding positions through temporary adverse movement to capture the large directional moves that drive long-run performance. A system that exits at the first sign of trouble avoids large drawdowns but also misses the large profits. The drawdown is the price of staying in the trade long enough for the full trend to develop. It is expected, measured, and managed through position sizing, not avoided.
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