We employ systematic trend-following models rooted in the foundational principles of systematic trend following. No machine learning black boxes, no curve-fitting, no optimization theater. Simple, robust, time-tested.
Our proprietary multi-timeframe architecture captures trends across multiple horizons. When signals converge on the same market, portfolio exposure naturally increases in the highest-conviction trends without forcing concentration.
Capital-efficient diversification across 7 uncorrelated sectors provides more opportunities to catch uncorrelated trends, smoother equity curves, and less dependence on any single sector or theme.
The founder's capital is invested alongside every investor. We added personal capital during our worst drawdown. When we ask investors to trust the system through volatility, we're asking them to do what we've already done.
2/20 fee structure with a strict high-water mark. We only earn meaningful compensation when the fund makes money. Founding investors pay no fees until their individual account exceeds $500,000.
Monthly performance reports with full position disclosure, sector breakdowns, closed trade analysis, and risk metrics. No ambiguity about what we own, why we own it, or how much risk we're taking. Investors see everything.
We run a fully systematic trend-following program using systematic trend-following models to enter and exit positions across global futures markets. The system identifies and captures sustained directional price movements using proprietary signal generation across multiple timeframes. Every signal is executed without discretionary override.
Entry: Price breaks above (long) or below (short) the highest high or lowest low of the lookback period.
Exit: Systematic exit signal triggered by proprietary rules.
Direction: The system trades both long and short, capturing trends in either direction.
Frequency: Low turnover. Positions are held for weeks to months, not hours or days.
Captures emerging trends with a shorter lookback period. Quicker to enter and exit. Generates more signals, tighter stops, and higher trade frequency. Designed to catch the early phase of new trends and profit from shorter-duration moves that longer-term models would miss.
Captures major sustained trends with a longer lookback window. Fewer signals, wider stops, longer holding periods. Designed to ride the core of large directional moves — the multi-month trends that generate the bulk of returns in any trend-following program.
When multiple timeframes confirm the same trend, the portfolio naturally concentrates exposure on the highest-conviction moves. This convergence is organic, never forced, and means our largest positions are always in markets exhibiting strength across our full model spectrum.
Every position is sized using a fixed-fractional heat model tied to the market's current volatility (ATR). This means position size automatically adjusts — smaller positions in volatile markets, larger in calm ones. No position can risk more than a fixed percentage of equity at entry.
Each position carries an ATR-derived trailing stop that follows the trend. As a position moves in our favor, the stop ratchets up, locking in gains. If a trend reverses, the stop triggers automatically. No hope-based holding, no "let's wait and see."
Position concentration limits by sector, cross-system correlation caps, and a systematic drawdown circuit breaker that reduces exposure during extended drawdowns. These layered controls prevent overconcentration in any single sector while dynamically adjusting risk during adverse periods.
25 markets across multiple sectors ensures that no single market, sector, or theme can dominate the portfolio. Correlation between commodity sectors is structurally low, meaning losses in one area are frequently offset by gains in another.
Australian Dollar, British Pound, Japanese Yen
Gold, Copper, Platinum, Palladium
Crude Oil (WTI), Natural Gas
Canola, Corn, Soybeans, Soybean Oil, Wheat (Kansas City)
Feeder Cattle, Live Cattle, Lean Hogs
10-Year T-Note, 30-Year T-Bond, Euro-BTP
Cocoa, Cotton, Lumber, Orange Juice, Sugar
| Diversified Trend | 60/40 | Managed Futures | |
|---|---|---|---|
| Total Return | +104.60% | +17.6% | +24.1% |
| Ann. Volatility | 83.2% | 5.1% | 9.2% |
| Max Drawdown | -55.78% | -2.1% | -4.1% |
| Sharpe Ratio | 1.19 | 2.09 | 1.74 |
| Sortino Ratio | 1.18 | 1.77 | 2.96 |
| Correlation to Diversified Trend | — | -0.06 | 0.13 |
Commentary
The Diversified Trend Program declined -0.43% in February 2026 after gaining +4.76% in January. The portfolio ended the month with 6 open positions, all long, reflecting reduced exposure as several trends exited during the month. Total portfolio heat stood at 10.57%.
Risk was concentrated in Grains (3.8% heat) with Canola and Soybean Oil, followed by Livestock (2.4%) via Lean Hogs, Currencies (1.8%) through the Australian Dollar, Interest Rates (1.6%) in Euro-BTP, and a small Energy position (0.9%) in Crude Oil.
The reduction from 13 to 6 positions reflects the system working as designed — exiting trends that have reversed while maintaining exposure to markets still trending. All remaining positions are from the short-term system, with exposure across 5 sectors.
Correlation Matrix
Based on 13 months of overlapping returns.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +4.76 | -0.43 | +4.31 | ||||||||||
| 2025 | -3.59 | +26.72 | -47.95 | -15.05 | +20.40 | -8.85 | +47.32 | +16.41 | +2.28 | +24.96 | +50.95 | +96.15 |
8 winning months vs. 5 losing months. The average winning month (+24.23%) exceeds the average losing month (-15.17%) by a factor of 1.60×. This positive asymmetry — winning more when right than losing when wrong — is the defining characteristic of trend-following strategies.
The program launched with a single system and limited capital. The April drawdown coincided with the global tariff shock that whipsawed trend followers broadly. Since then, the program upgraded to a two-system architecture and rebuilt to new all-time highs by October 2025. February's modest decline reflects reduced positioning as several trends exited, a natural part of the trend-following cycle.
March 2025: Strong trend gains bring account to new highs (+26.72% month).
April 2025: Global tariff shock reverses multiple positions simultaneously (-47.95%).
May 2025: Continued bleeding as stops trigger across remaining positions (-15.05%).
June—September: System begins capturing new trends. Steady recovery.
October 2025: Portfolio surpasses previous all-time high. Full recovery complete.
Drawdowns are the price of admission for high-return trend following. The system worked as designed — stops fired, losses were contained, and when new trends emerged, the system captured them. 100% investor retention through the drawdown confirms that our investors understand the strategy.
| Market | Direction | Sector | Heat |
|---|---|---|---|
| Canola | Long | Grains | 2.36% |
| Lean Hogs | Long | Livestock | 2.40% |
| Australian Dollar | Long | Currencies | 1.84% |
| Euro-BTP | Long | Interest Rates | 1.58% |
| Soybean Oil | Long | Grains | 1.47% |
| Crude Oil | Long | Energy | 0.92% |
The portfolio is running at approximately one-third of the capacity observed in January (26.3%), reflecting a natural contraction as the long-term system exited all positions during the month. All 6 remaining positions are from the short-term system.
The long-term system exited all 13 positions from January as those trends reversed or hit trailing stops. The short-term system independently entered 6 new positions, reflecting fresh emerging trends in Grains, Livestock, Currencies, Interest Rates, and Energy. This turnover is a feature, not a bug — the system adapts to the current trend environment.
Grains: 2 positions (3.83% heat) · Livestock: 1 (2.40%) · Currencies: 1 (1.84%) · Interest Rates: 1 (1.58%) · Energy: 1 (0.92%)
The portfolio is 100% long, reflecting a cautious but diversified posture across 5 sectors. No short positions are currently active. Exposure is well-distributed with no single position exceeding 2.4% of equity at risk.
| Fund Details | |
|---|---|
| Fund Entity | Joshua Tree Capital Management LLC |
| Program | Diversified Trend Program |
| Operator (CPO) | Mukoro Investment Group LLC |
| Strategy | Systematic Trend Following |
| Markets | 25 Global Futures |
| Inception | February 10, 2025 |
| Regulatory Status | CFTC Rule 4.13(a)(2) Exemption |
| Investor Terms | |
|---|---|
| Fee Structure | 2/20 (high-water mark) |
| Minimum Investment | $25,000 |
| Redemption | Monthly, 30 days notice |
| Reporting | Monthly performance reports |
| K-1 Tax Reporting | Annual |
We are in the track-record building phase and charge zero fees. Our goal is to demonstrate the system's ability to generate consistent risk-adjusted returns across market cycles before introducing a fee structure. Early investors benefit from institutional-quality systematic trading at pure cost basis — their only expense is trading commissions and exchange fees embedded in execution.
Joshua Tree Capital Management LLC operates under the CFTC Rule 4.13(a)(2) exemption from CPO registration. Mukoro Investment Group LLC, as the Commodity Pool Operator, manages the fund under this exemption. The pool operator is not required to deliver a Disclosure Document or a certified annual report to participants.
Joshua Mukoro is the Founder and Portfolio Manager of Joshua Tree Capital Management, responsible for all investment decisions, research, and portfolio construction.
He holds a B.A. in Psychology from the University of North Carolina at Chapel Hill, an MBA, and a Master’s in Information Systems Management from Lamar University. Joshua serves on active duty in the United States Air Force, where he oversees mission-critical operations requiring strict process adherence, risk containment, and operational continuity. He has been decorated for leadership throughout his service, from a deployment to Kuwait to crisis operations during hurricane recovery efforts. That same discipline drives the fund’s systematic approach.
Joshua Tree Capital Management was founded in February 2025 as a systematic trend following fund, built on a conviction that persistent behavioral biases create sustained price trends across global markets, and a disciplined, quantitative system is the most effective way to capture them.
The Diversified Trend Program trades 25 global futures markets with no directional bias, profiting from sustained moves in either direction. In February 2026, the program achieved fully algorithmic execution with signal generation, position sizing, and risk management entirely model-driven.
IMPORTANT DISCLAIMER: Past performance is not indicative of future results. This presentation is for informational purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any securities or investment products. Investments in managed futures are speculative and involve a high degree of risk. Investors may lose all or a substantial portion of their investment. Returns shown are net of all trading costs. No management or incentive fees are currently charged. The fund operates under CFTC Rule 4.13(a)(2) exemption from CPO registration. This material is confidential and for informational purposes only. The information contained herein has not been independently verified and no representation or warranty, express or implied, is made as to the accuracy or completeness of any information obtained from third parties. Systematic trading strategies carry inherent risks including but not limited to: market risk, liquidity risk, leverage risk, and the risk of technology failure. Historical performance of trend-following strategies is no guarantee that such strategies will continue to perform similarly in the future.