CTA Profiles Sweet Futures

Start Date: Jan-2020
Apr Return: 5.59%
YTD Return: 6.88%
Annual CROR: 14.20

Worst Drawdown: -46.50%
Losing Streak: -2.71 %
Sharpe Ratio: 0.51
Calmar Ratio: 1.89

Min Investment: $100,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 543209

Margin: 10-20%
Mgt Fee: 0.00%
Incentive Fee: 0.00%
Round Turns: 5,200

Trading Strategy: J.D. Turner Capitalâ€™s Diversified Trend Following Strategy seeks to combine traditional and modern trend following to find stronger trends and weaker correlation. The methodology offers market-neutral exposure to a broad market of commodities, interest rate, currency, and stock index futures within 17 traded markets. The system uses a systematic approach in risk management, deploying systematic option hedging tactics. Capital is dynamically allocated within our strategy based on account size, averaged volatility metrics, correlation and potential directional risk. The trend models used to trade each market are technical: based purely on price and price derivative data. Risk Strategy: The original model (from Jan 2020 to Dec 2021) was based on pure trend following and has evolved to include new risk management models employed in January 2022 to reduce volatility and risk. The current model uses a systematic approach in risk management, deploying systematic option hedging tactics, in addition to lower margin-equity targets from 30% to 15%. Since inception of new risk management models, max drawdown has decreased from -46.5% (2/20-6/21) to -10.11% (5/23-9/23) as of March 31st 2024.

Trading Methodology
95% Systematic
5% Discretionary
Trading Style
50% Trend Following
50% Option Trading

Style Sub-Categories
Other Option Strategy
Quantitative
Mean Reversion
Long Short

Holding Period
35% Medium Term
64% Short Term
1% Intraday
Sector: Global
Contracts:

Market Allocation
11% Stock Indices
18% Currencies
12% Financials
12% Metals
17% Agriculturals
18% Meats

Returns prior to August, 2023 are based on proforma adjustments to a proprietary account to reflect fees. Client accounts, from August 2023 on, are traded in like fashion.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	3.45%	0.06%	-2.21%	5.59%									6.88%	-2.21%
2023	2.67%	-1.38%	1.61%	-1.70%	5.56%	-7.65%	1.59%	-1.34%	-2.89%	4.65%	-2.79%	-0.46%	-2.83%	-10.11%
2022	0.85%	0.54%	4.03%	0.23%	2.73%	7.24%	1.12%	-3.26%	1.42%	2.41%	-1.68%	1.85%	18.51%	-3.26%
2021	9.34%	3.81%	-13.85%	-9.25%	-6.77%	-3.15%	19.10%	12.30%	17.96%	-10.79%	4.56%	6.69%	25.81%	-29.41%
2020	19.40%	44.00%	-23.21%	21.20%	4.60%	0.29%	-18.46%	8.02%	1.21%	-0.70%	-29.17%	9.07%	14.8%	-38.78%

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

Chart

Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The 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.

Sharpe Ratio - The 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.

Round Turns - Represents the annual number of Round Turns per $1 million.