CTA Profiles Sweet Futures

Start Date: Jan-2020
Nov Return: -0.79%
YTD Return: 3.00%
Annual CROR: 11.57

Worst Drawdown: -46.50%
Losing Streak: -6.27 %
Sharpe Ratio: 0.45
Calmar Ratio: 0.81

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 employs systematic trend-following with dynamic risk-managed exposure to a diverse range of commodities, interest rates, currencies, and stock indices within 17 traded markets. We utilize systematic option hedging tactics to mitigate adverse price movements, reducing short-term volatility and potential drawdowns while maintaining a directional bias to capture sustained market trends. Our approach prioritizes protecting unrealized gains during favorable market conditions and adapts to evolving market dynamics. 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).

Trading Methodology
99% Systematic
1% Discretionary
Trading Style
50% Trend Following
50% Option Trading

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

Holding Period
50% Medium Term
50% Short Term
Sector: Global
Contracts:

Market Allocation
11% Stock Indices
18% Currencies
12% Financials
12% Metals
12% Energies
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%	-1.78%	0.10%	-1.91%	2.32%	4.19%	-5.52%	-0.79%		3%	-6.27%
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.