DUNN Capital Management occupies a singular place in modern finance: influential, enduring, and deliberately understated. Established in 1974, the firm is one of the oldest surviving Commodity Trading Advisors in the managed futures universe, known for a systematic, rules-based approach to trend-following that has remained consistent across generations of market change. At a time when many investors struggle to find diversification beyond stocks and bonds, DUNN’s work offers a different proposition—one grounded in data, discipline, and patience rather than prediction or personality.
In its first decade, DUNN emerged alongside the earliest experiments in quantitative trading, long before algorithms and artificial intelligence became fashionable terms. Its founder, Dr. William A. Dunn, brought the mindset of a physicist to financial markets, convinced that price behavior—while noisy—contained persistent trends that could be identified, tested, and traded systematically. This conviction shaped a philosophy that continues to define the firm today.
Now headquartered in Stuart, Florida, DUNN manages capital for institutions and sophisticated investors seeking exposure to global futures markets through a single, coherent framework. Its flagship strategy, the World Monetary and Agriculture Program, trades across currencies, commodities, interest rates, and equity indices, taking both long and short positions based entirely on quantitative signals. There is no discretion, no market forecasts, and no attempt to outguess short-term news.
The result is a firm that has quietly endured for more than five decades. While others have risen quickly and faded just as fast, DUNN’s relevance has persisted because of its refusal to abandon first principles. In an era of constant financial reinvention, that restraint may be its most radical trait.
The Origins of a Systematic Mindset
The story of DUNN Capital Management begins not in a trading pit or investment bank, but in scientific inquiry. William A. Dunn was trained as a theoretical physicist, a discipline rooted in abstraction, modeling, and the relentless testing of hypotheses. When he turned his attention to markets in the early 1970s, he approached them less as arenas of speculation and more as complex systems capable of analysis.
At the time, futures markets were expanding rapidly, offering exposure to commodities, currencies, and interest rates. Yet trading was largely discretionary, driven by individual judgment, intuition, and narrative. Dunn saw an opportunity to do something different: to strip decision-making of emotion and apply mathematical rigor instead.
In 1974, with capital pooled from a small group of partners, Dunn began trading futures using early computer models. These systems were primitive by today’s standards, constrained by limited data and processing power, but the underlying idea was bold. Markets, Dunn believed, exhibit trends that persist longer than most traders expect. By identifying those trends and managing risk systematically, it was possible to participate in sustained price movements without predicting when they would begin or end.
This approach placed DUNN among the pioneers of what would later be called trend-following or managed futures. Importantly, it also established a culture that valued evidence over opinion. Models were tested, refined, and sometimes discarded, but never overridden on a whim. Over time, this insistence on discipline became the firm’s defining characteristic.
Building the World Monetary and Agriculture Program
The clearest expression of DUNN’s philosophy is the World Monetary and Agriculture (WMA) Program. Introduced in the mid-1980s, the program has remained the firm’s flagship strategy for decades, evolving in detail but not in spirit.
The WMA Program is entirely systematic. It trades a diversified portfolio of global futures markets, including agricultural commodities, energy products, metals, currencies, interest rates, and equity indices. Positions can be long or short, depending on the direction of the detected trend. If prices are rising persistently, the system seeks to participate on the long side; if prices are falling, it positions short.
Crucially, the program does not attempt to forecast macroeconomic events or respond to news. Instead, it reacts to price behavior itself. Trends are identified using quantitative measures derived from historical data, and positions are adjusted according to predefined risk parameters. When trends reverse, positions are reduced or exited, often at a loss—but one that is anticipated and controlled within the system’s design.
Another defining feature of the WMA Program is that it remains invested at all times. Capital is allocated across markets continuously, with position sizes adjusted based on volatility and correlation. This design reflects a core belief: that opportunity exists somewhere in global markets at nearly all times, even if it is not apparent in traditional asset classes.
Over the years, the program has been refined through extensive research and simulation. Markets have been added and removed, risk controls enhanced, and execution improved. Yet the central logic—trend identification, diversification, and disciplined risk management—has remained intact.
Research, Technology, and Discipline
Behind DUNN’s longevity lies a deep commitment to research. The firm’s investment process is not static; it is the product of continuous inquiry. Researchers test new ideas, stress existing models across decades of historical data, and evaluate how strategies perform under different market regimes.
This research culture reflects Dunn’s scientific roots. Hypotheses are subjected to rigorous testing, and only those that demonstrate robustness across time and conditions are incorporated into production systems. Importantly, the firm is wary of overfitting—designing models that perform well in backtests but fail in live trading. Simplicity and stability are valued alongside sophistication.
Technology plays a supporting but essential role. As computing power has expanded, DUNN has invested in proprietary systems capable of processing large datasets, running complex simulations, and executing trades efficiently across global exchanges. However, technology is treated as a tool, not a substitute for judgment. The goal is not speed for its own sake, but reliability and precision.
Perhaps most striking is the firm’s resistance to discretionary intervention. Once a system is deployed, its signals are followed. There are no overrides based on gut feeling or market commentary. This discipline can be psychologically challenging, particularly during periods of drawdown, but it is central to the firm’s identity. DUNN’s leaders argue that abandoning rules during difficult periods undermines the very edge systematic strategies are designed to provide.
Leadership and Continuity
As DUNN matured, leadership gradually transitioned from its founder to the next generation. Today, the firm is led by Martin H. Bergin, who has been associated with DUNN for decades. Under his stewardship, the firm has maintained continuity while investing in modernization.
Bergin’s leadership style reflects the firm’s broader ethos: understated, methodical, and focused on process rather than publicity. Rather than expanding aggressively or launching a proliferation of new products, DUNN has remained centered on its core competency. Growth has been measured, guided by the capacity of the strategy rather than market demand alone.
The firm’s team remains relatively small, fostering close collaboration between researchers, technologists, and risk managers. This structure supports accountability and preserves institutional knowledge—an asset often lost in larger organizations with frequent turnover.
Another notable feature of DUNN’s culture is co-investment. Principals historically invest their own capital alongside clients, aligning incentives and reinforcing a long-term perspective. This alignment is more than symbolic; it shapes decision-making by ensuring that those designing and overseeing strategies experience the same gains and losses as investors.
Risk, Volatility, and Investor Expectations
Trend-following strategies are not without challenges. They can experience extended periods of underperformance, particularly during range-bound markets when trends fail to persist. DUNN has never shied away from this reality. Instead, it emphasizes education and transparency, helping investors understand what the strategy is designed to do—and what it is not.
Risk management at DUNN operates on multiple levels. Position sizes are adjusted based on market volatility, ensuring that no single market dominates portfolio risk. Diversification across asset classes and geographies further reduces dependence on any one outcome. Drawdowns are anticipated and incorporated into expectations rather than treated as anomalies.
Importantly, DUNN frames volatility not as a flaw, but as a necessary component of return generation. Without volatility, trends would not exist. The firm’s objective is not to eliminate volatility, but to harness it in a controlled and systematic way.
This perspective often appeals to investors seeking diversification rather than smoothness. Managed futures strategies like DUNN’s have historically exhibited low correlation to traditional assets, particularly during periods of equity stress. While past performance offers no guarantees, this characteristic has made such strategies attractive as portfolio complements.
DUNN Within the Broader Industry
Within the managed futures and CTA community, DUNN is regarded as a benchmark for discipline and longevity. While newer firms may pursue more complex or niche strategies, DUNN’s reputation rests on its consistency and adherence to core principles.
Unlike discretionary hedge funds that rely heavily on star managers or thematic bets, DUNN’s identity is inseparable from its process. There is no single trade or market that defines its success. Instead, performance emerges from the aggregation of many small decisions made systematically over time.
This positioning has kept the firm somewhat outside mainstream financial media. It does not chase headlines or cultivate a public persona. Yet among institutional allocators, consultants, and industry peers, DUNN’s name carries weight precisely because it has endured.
The Enduring Relevance of Trend-Following
As financial markets evolve, questions inevitably arise about the future of trend-following. Increased algorithmic participation, faster information dissemination, and structural changes in markets have altered the trading landscape. Yet DUNN’s leadership argues that the fundamental drivers of trends—human behavior, economic cycles, and policy shifts—remain intact.
Trend-following does not depend on inefficiencies in the narrow sense, but on persistence in price behavior driven by collective action. When large groups of participants respond gradually to new information, trends can emerge and endure. DUNN’s systems are designed to respond to these movements, not to predict their causes.
The firm’s challenge, then, is evolutionary rather than revolutionary: to adapt models thoughtfully without abandoning the principles that have guided them for decades. This balance between innovation and restraint may define DUNN’s next chapter as much as it has defined its past.
Conclusion
DUNN Capital Management is a study in quiet persistence. In a financial world often captivated by novelty, speed, and spectacle, the firm has built its legacy on patience, evidence, and restraint. From its origins in the 1970s to its present role as a respected systematic manager, DUNN has remained faithful to a simple but demanding idea: that disciplined, rules-based investing can navigate uncertainty better than intuition alone.
For investors, DUNN’s story offers both a practical option and a philosophical lesson. The option is exposure to a strategy designed to perform differently from traditional assets, grounded in global diversification and trend-following. The lesson is subtler: that long-term success in markets may depend less on constant reinvention than on the courage to stay the course.
As markets continue to change, DUNN Capital Management stands as a reminder that some principles, once proven, are worth preserving.
Frequently Asked Questions
What is DUNN Capital Management?
DUNN Capital Management is an alternative investment firm specializing in systematic, trend-following strategies across global futures markets.
When was DUNN Capital founded?
The firm was founded in 1974, making it one of the oldest surviving managed futures managers.
What is the World Monetary and Agriculture Program?
It is DUNN’s flagship strategy, a fully systematic program that trades a diversified portfolio of futures markets using quantitative trend-following models.
Does DUNN use discretionary trading?
No. All investment decisions are generated and executed according to predefined quantitative rules, without discretionary overrides.
Why do investors use managed futures strategies like DUNN’s?
Such strategies are often used for diversification, as they can perform differently from traditional stock and bond investments.