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THS Capital Management, LLC - Diversified Trend Following

Principal(s): Thomas Silman
Strategy: Systematic with Discretionary Overlay / Diversified
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Statistics & Program Information - Fixed Trade Level

Aug Return -0.81%	Worst Drawdown ⁽²⁾ -21.25%	Minimum Investment $250,000
YTD Return -7.48%	Losing Streak ⁽³⁾ -21.23 %	AUM⁽⁵⁾ $500,000
Annualized Return¹ -6.87%	Sharpe Ratio ⁽⁴⁾ -0.90	Calmar Ratio ⁽⁶⁾ N/A
1) The program trades a fixed number of contracts in a nominal account (Fixed Trade Level). The Annualized Return annualizes the average monthly return

Trading Methodology 90% Systematic 10% Discretionary	Style Sub-Categories Momentum Pattern Recognition Quantitative	Trading Style 100% Trend Following
Market Sector 100% Diversified	Holding Period 20% Medium Term 80% Short Term	Geographic Sector: US Contracts: Futures

Start Date Jul-2022	Currency US$	Margin ⁽⁷⁾ 10-15%
New Money Yes	AUM ⁽⁵⁾ $500,000	Management Fee 2.00%
Min Investment $250,000	Annual ROR ⁽¹⁾ -6.87%	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -21.23 %	Other Fees $50 Monthly Accounting Fee
Notional Funds Yes	Worst Drawdown ⁽²⁾ -21.25 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ -0.90	Max Comm ⁽⁹⁾
NFA Number 0548429	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 2,000

Starting Date: Jul-2022	Currency: US$
Open to New Investors: Yes	Current Assets: $500,000
Open to US Investors: Yes	Annual CROR: -8.14%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -20.07
Minimum Managed Account: $250,000	Current Losing Streak: -21.23 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: -0.90
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: $50 Monthly Accounting Fee	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Compliance Supervisors

Correlations: AG CTA Index: 0.185 AG Systematic CTA Index: 0.146

Trading Description, Risk Strategy & Background

Trading Description

The THS Diversified Trend Following program is a Trend-Following program that is primarily systematic, using a proprietary blend of technical indicators, with a discretionary overlay, that generates specific Buy, Sell or No Entry signals in a basket of domestic futures markets.

The Diversified Trend Following Program ($250,000) takes each of the 30 individual derivative markets that are traded. For example, in the energy sector the program could have on crude oil, heating oil, and unleaded gas. There are also multiple markets traded in the grain sector and in the metals sector. Note that during periods of extreme volatility, the system may temporarily reduce position exposure. From time to time the advisor may also utilize long options and option spreads. Once a trade is initiated, strict rules for risk management are implemented which includes, but are not limited to, trailing stop-losses on all positions. The average holding period is between 1 and 15 calendar days and the recommended account minimum is $250,000 with notional funding available. Position sizing is based on volatility and risk. The program has been shown to have a low correlation to traditional asset classes such as stocks and bonds. The Advisor maintains ongoing research into the characteristics of the markets traded.

Risk Strategy

Trades are initiated when the program's algorithm gives a trade signal. The chart is then examined to make sure that certain parameters have been met in order to make the trade. Stops are entered either before or immediately after entry into a market. Stops are adjusted as needed.

Background

THS Capital Management, LLC has been registered with the CFTC and a member of the NFA since May 11, 2022. As of July 1, 2022 it has not managed any customer accounts.

Prior to July 2022, Thomas Silman operated and traded under his sole proprietorship THS Capital Management. As of July 2022 all accounts traded under Mr. Silman's sole proprietorship will now be traded under THS Capital Management, LLC.

Thomas Silman was born in Great Neck, New York, and attended Cornell University. He received a B.S. degree in Biological Sciences from Virginia Tech and did post-graduate work at Case Western Reserve University. Prior to entering the financial industry, Mr. Silman served in the U.S. Army as a Cryptographer where he held a Top Secret Cryptologic Clearance. His duties included analysis of code-breaking techniques, as well as encryption and decryption of very sensitive communications. In 1972, Mr. Silman began his financial career with Reynolds Securities (aka Dean Witter Reynolds) as a dually listed Stock and Commodity futures broker and has been actively trading ever since; initially in NY and later in CA. In 2004 he established THS Capital Management Corp as a Commodity Trading Advisor (CTA) and in 2008, Mr. Silman went private, whereby he traded mostly for himself and "Friends and Family" accounts. During this time he developed a trading methodology which he feels has significant merits for investors and in 2018 he began offering his services to the public.

Accounting Notes:

Performance from February 2022 through May 2022 represents the trading of Thomas Silman's sole proprietorship d.b.a. THS Capital Management. As of July 2022, THS Capital Management, LLC will replace Mr. Silman's sole proprietorship using the same strategy that Mr. Silman has applied to his sole proprietorship.

Performance from February 2022 through May 2022 represents the trading of Thomas Silman's sole proprietorship d.b.a. THS Capital Management.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-4.24%	2.56%	-5.82%	1.77%	0.74%	-0.34%	-1.34%	-0.81%					-7.48%	-7.51%
2023	-5.19%	2.35%	-0.93%	0.47%	-0.94%	-1.31%	-4.64%	-2.81%	-0.25%	-3.80%	-0.07%	7.17%	-9.95%	-16.08%
2022		-0.47%	-0.09%	0.34%	-1.18%	-2.72%	4.75%	-4.50%	0.88%	-3.09%	0.50%	2.41%	-3.17%	-6.64%

*The Annual ROR (Rate of Return) for Fixed Trade Level Accounts has been calculated by adding each monthly return.

Annual Performance

Years	2022	2023	2024
ROR	-3.17%	-9.95%	-7.48%
Max DD	-6.64%	-16.08%	-7.51%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

Footnotes & Definitions:

P - Proprietary Trading Results
C - Client Trading Results
Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.

Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
Minimum Investment: Minimum Investment represents the minimum account size.
Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
Number of Winning Months: Number of Winning Months represents the months with positive return.
Number of Losing Months: Number of Losing Months represents the months with negative return.
Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS