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Joshua Turner

Diversified Trend Following Strategy

Investment Strategy

J.D. Turner Capital’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.

Capital is dynamically allocated based on account size, average volatility metrics, correlations, and potential directional risk. The trend models applied to each market are entirely technical, relying solely on price and price derivative data.

This flexible and reactive strategy aims to deliver a balance between potential returns and risk control, making it a robust across diverse market environments.

The 17 traded markets include but are not limited to:

  1. Australian Dollar Futures
  2. British Pound Futures
  3. Euro FX Futures
  4. Corn
  5. Soybeans
  6. Wheat
  7. Natural Gas
  8. Crude Oil
  9. Live Cattle
  10. Feeder Cattle
  11. Lean Hogs
  12. Russell 2000 Index
  13. S&P 500 Index
  14. Gold
  15. Silver
  16. 2 Year U.S Treasury Note
  17. 5 Year U.S Treasury Note


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).
 

Diversification does not assure profit, nor does it protect against loss. Investing in managed futures is not suitable for all investors given the level of risk involved, including the risk of loss.

Performance (VAMI)

Monthly Returns

Fund Manager

Joshua D. Turner, Principal at J.D. Turner Capital, brings over a decade of experience in quantitative trading and systematic risk management. 
 
His professional journey, starting in specialty chemical manufacturing, honed his precision and data-driven approach, which he now applies to global markets.
 
At J.D. Turner Capital, he focuses on delivering risk-managed, non-correlated returns through adaptive strategies that span up to 17 diverse markets. Joshua’s disciplined methodology prioritizes long-term, risk-adjusted growth for investors.

Fund Information

Inception DateJan 2020
Minimum Investment100,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone4436819901
E-mail[email protected]
Websitewww.jdturnercapital.com

Statistics

Total Return Cumulative 72.67%
Sharpe Ratio 0.49
Sortino Ratio 0.52
Winning Months (%) 62.07%
Correlation vs. S&P 500 TR -0.15

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 3.45 0.06 -2.21 5.59 -1.78 0.10 -1.91 2.32 4.19 -5.52 3.82
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
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
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
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 14.80
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

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.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

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.

Return Statistics

Last Month -5.52%
Year To Date 3.82%
3 Month ROR 0.72%
12 Months ROR 0.46%
36 Month ROR 33.37%
Total Return Cumulative 72.67%
Total Return Annualized 11.96%
Best Month 44.00%
Winning Months (%) 62.07%
Gain Deviation 8.64

Risk Statistics

Standard Deviation Annualized 36.24%
Max Drawdown (Monthly) -46.50%
Max Drawdown # of Months 35
Worst Month -29.17%
Losing Months (%) 37.93%
Average Losing Month -6.81%
Loss Deviation 7.67
Correlation vs S&P 500 -0.15
Correlation vs DJ/CS MF -0.06

Risk/Reward Statistics

Sharpe Ratio 0.49
Sortino Ratio 0.52
Omega Ratio 1.22
Skewness 0.68
Kurtosis 5.36

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -46.50% 16 19 03/2020 01/2023
2 -10.11% 4 12 06/2023 09/2024
3 -5.52% 1 0 10/2024 -
4 -1.70% 1 1 04/2023 05/2023
5 -1.38% 1 1 02/2023 03/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 44.00%-29.17%1.48%1.16%-5.52%62.07%
3 Months 57.77%-28.81%2.80%1.77%0.72%64.29%
6 Months 67.87%-37.12%4.33%2.50%-2.86%60.38%
1 Year 82.88%-45.20%8.35%3.57%0.46%65.96%
2 Years 92.38%-14.83%25.05%16.42%1.03%91.43%
3 Years 90.00%0.52%37.60%33.37%33.37%100.00%
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.96%23.68%36.78%89.99%1066.57%3654.65%
% Positive62.07%64.29%60.38%65.96%91.43%100.00%
Avg. Pos. Period6.55%9.81%14.71%20.18%28.21%37.60%
Avg. Neg. Period-6.81%-9.81%-11.49%-14.58%-8.57% -
Sharpe Ratio0.490.660.791.173.445.09
Sortino Ratio0.520.770.921.5627.800.00
Standard Deviation10.46%14.72%19.06%24.71%25.22%25.58%
Downside Deviation6.32%8.02%9.98%12.17%2.83%0.00%

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.

Fund Information

Minimum Investment100,000 USD (notional funding: 50.00%)
AUM122,233 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million5200
Margin to Equity15.00%
Legal StructureManaged Account
Investment RestrictionUS Only

Company Information

CompanyJoshua Turner
PrincipalJoshua D. Turner
Phone4436819901
E-mail[email protected]
License NumberNFA 0543209
LocationRosedale, United States
Performance Compiled by -

Monthly Performance

Export Data
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 3.45 0.06 -2.21 5.59 -1.78 0.10 -1.91 2.32 4.19 -5.52 3.82
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
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
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
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 14.80
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

J.D. Turner Capital’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.

Capital is dynamically allocated based on account size, average volatility metrics, correlations, and potential directional risk. The trend models applied to each market are entirely technical, relying solely on price and price derivative data.

This flexible and reactive strategy aims to deliver a balance between potential returns and risk control, making it a robust across diverse market environments.

The 17 traded markets include but are not limited to:

  1. Australian Dollar Futures
  2. British Pound Futures
  3. Euro FX Futures
  4. Corn
  5. Soybeans
  6. Wheat
  7. Natural Gas
  8. Crude Oil
  9. Live Cattle
  10. Feeder Cattle
  11. Lean Hogs
  12. Russell 2000 Index
  13. S&P 500 Index
  14. Gold
  15. Silver
  16. 2 Year U.S Treasury Note
  17. 5 Year U.S Treasury Note


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).
 

Diversification does not assure profit, nor does it protect against loss. Investing in managed futures is not suitable for all investors given the level of risk involved, including the risk of loss.

Return Statistics

Last Month -5.52%
Year To Date 3.82%
3 Month ROR 0.72%
12 Months ROR 0.46%
36 Month ROR 33.37%
Total Return Cumulative 72.67%
Total Return Annualized 11.96%
Best Month 44.00%
Winning Months (%) 62.07%
Gain Deviation 8.64

Risk Statistics

Standard Deviation Annualized 36.24%
Max Drawdown (Monthly) -46.50%
Max Drawdown # of Months 35
Worst Month -29.17%
Losing Months (%) 37.93%
Average Losing Month -6.81%
Loss Deviation 7.67
Correlation vs S&P 500 -0.15
Correlation vs DJ/CS MF -0.06

Risk/Reward Statistics

Sharpe Ratio 0.49
Sortino Ratio 0.52
Omega Ratio 1.22
Skewness 0.68
Kurtosis 5.36

Monthly Returns

Performance (VAMI)

Fund Manager

Joshua D. Turner, Principal at J.D. Turner Capital, brings over a decade of experience in quantitative trading and systematic risk management. 
 
His professional journey, starting in specialty chemical manufacturing, honed his precision and data-driven approach, which he now applies to global markets.
 
At J.D. Turner Capital, he focuses on delivering risk-managed, non-correlated returns through adaptive strategies that span up to 17 diverse markets. Joshua’s disciplined methodology prioritizes long-term, risk-adjusted growth for investors.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -46.50% 16 19 03/2020 01/2023
2 -10.11% 4 12 06/2023 09/2024
3 -5.52% 1 0 10/2024 -
4 -1.70% 1 1 04/2023 05/2023
5 -1.38% 1 1 02/2023 03/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 44.00%-29.17%1.48%1.16%-5.52%62.07%
3 Months 57.77%-28.81%2.80%1.77%0.72%64.29%
6 Months 67.87%-37.12%4.33%2.50%-2.86%60.38%
1 Year 82.88%-45.20%8.35%3.57%0.46%65.96%
2 Years 92.38%-14.83%25.05%16.42%1.03%91.43%
3 Years 90.00%0.52%37.60%33.37%33.37%100.00%
5 Years ------

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg11.96%23.68%36.78%89.99%1066.57%3654.65%
% Positive62.07%64.29%60.38%65.96%91.43%100.00%
Avg. Pos. Period6.55%9.81%14.71%20.18%28.21%37.60%
Avg. Neg. Period-6.81%-9.81%-11.49%-14.58%-8.57% -
Sharpe Ratio0.490.660.791.173.445.09
Sortino Ratio0.520.770.921.5627.800.00
Standard Deviation10.46%14.72%19.06%24.71%25.22%25.58%
Downside Deviation6.32%8.02%9.98%12.17%2.83%0.00%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

For the latest performance, please scan the image above with a QR Reader.

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.

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.