The Lambourn trainer has been a keen road cyclist for a year and thought it would be fun to mix the two sports so he formed a new partnership, the 25-strong Velocity Racing.
After leasing a filly out of Lottie Dod, who bears the name of a five-times Wimbledon tennis champion of the late 19th century, Dunlop obtained approval to call her Laura Kenny, after the four-times gold medal winner.
"It's a new partnership I set up. I took up cycling a year ago and I went on a bike ride with a whole load of people who I thought could be interested to get involved in racing, so I leased a filly and created a partnership and we go racing and cycling," said Dunlop.
"When they come to see the horse we go cycling and similarly we are going to Chantilly in the middle of the summer and go out on the gallops with someone like Freddy Head.
"We had to seek permission for the name. We tried to get Laura Trott, which was her maiden name, but she wanted her new name, Laura Kenny, and obviously she is an incredible athlete.
"My filly is a two-year-old by Dutch Art out of a mare that was third in the Phoenix Park Stakes. She's got a nice pedigree.
"We leased her from an owner of mine called Rupert Gregson-Williams, and she was bred at Watership Down Stud near to us.
"It's something different and we thought it would be good PR to have her name on it and she's given approval.
"I don't know Laura or if she is keen on racing, but I've seen from afar what she's done and we thought it would be a really good thing to do."
Dunlop reports the four-legged Laura Kenny to be showing plenty of promise on the home gallops and that it will not be too long before she makes her debut on the racecourse.
"She's working well and doing some nice, strong canters," he said.
"She looks like she's going to be an early two-year-old, so Royal Ascot here we come!
"If she's got any of her namesake's speed, it would be marvellous."
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