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J.D. Turner Capital, LLC - Diversified Trend Following Strategy

Principal(s): Joshua D. Turner
Strategy: Trend Following / Diversified
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Statistics & Program Information

Mar Return -2.21%	Worst Drawdown ⁽²⁾ -46.50%	Minimum Investment $100,000
YTD Return 1.22%	Losing Streak ⁽³⁾ -7.86 %	AUM⁽⁵⁾ $117,934
Annual CROR ⁽¹⁾ 13.04	Sharpe Ratio ⁽⁴⁾ 0.48	Calmar Ratio ⁽⁶⁾ 0.80

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories Other Option Strategy Quantitative Mean Reversion Long Short	Trading Style 50% Trend Following 50% Option Trading
Market Sector 11% Stock Indices 18% Currencies 12% Financials 12% Metals 17% Agriculturals 18% Meats	Holding Period 35% Medium Term 64% Short Term 1% Intraday	Sector Global Contracts

Start Date Jan-2020	Currency US Dollar	Margin ⁽⁷⁾ 10-20%
New Money Yes	AUM ⁽⁵⁾ $117,934	Management Fee 0.00%
Min Investment $100,000	Annual CROR ⁽¹⁾ 13.04	Incentive Fee 0.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -7.86 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -46.50 %	Avg Comm ⁽⁸⁾ .75
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.48	Max Comm ⁽⁹⁾
NFA Number 543209	Calmar Ratio ⁽⁶⁾ 0.80	Round Turns ⁽¹⁰⁾ 5,200

Starting Date: Jan-2020	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $117,934
Open to US Investors: Yes	Annual CROR: 13.04%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -46.50
Minimum Managed Account: $100,000	Current Losing Streak: -7.86 %
Domocile:	Calmar: 0.80
Subscriptions: N/A	Sharpe Ratio: 0.48
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: 0.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Correlations: AG CTA Index: -0.322 AG Systematic CTA Index: -0.271

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. 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. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied 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. 6. 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. 7. 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. 8. The 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%. 9. The 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. 10. The 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. 11. 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. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. 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. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

J.D Turner Capital'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.

The 17 traded markets include but are not limited to: Australian Dollar Futures, British Pound Futures, Euro FX Futures, Corn, Soybeans, Wheat, Natural Gas, Crude Oil, Live Cattle, Feeder Cattle, Lean Hogs, Russell 2000 Index, S&P 500 Index, Gold, Silver, 2 Year U.S Treasury Note, 5 Year U.S Treasury Note

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.

Background

Joshua D. Turner is the manager of the Diversified Trend Following Strategy. Prior to founding J.D. Turner Capital LLC, a CFTC Registered NFA member Commodities Trading Advisory firm. He has accumulated over a decade in experience with trading the markets, focused mainly on technical analysis of trend following and the study of behavioral finance and with over 10 years of technical equity trading experience. Before working in world of finance, he's worked in the specialty chemical manufacturing sector from the age of eighteen to the age of thirty. During these years he's developed valuable skills with managing shifting priorities, navigating through risk, and standing out as a leader in a high-pressure environment.

Performance

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%										1.22%	-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%

Annual Performance

Years	2020	2021	2022	2023	2024 YTD
ROR	14.80%	25.81%	18.51%	-2.83%	1.22%
Max DD	-38.78%	-29.41%	-3.26%	-10.11%	-2.21%

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.

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