Covenant Capital Management : Aggressive Program

archived programs
Year-to-Date
N / A
Sep Performance
-1.20%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.10%
Sharpe (RFR=1%)
0.66
CAROR
11.91%
Assets
$ 6.0M
Worst DD
-28.71
S&P Correlation
0.13

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
2/2004
Aggressive Program -1.20 -0.51 - -0.37 -10.37 -4.41 54.37 421.23
S&P 500 0.43 7.20 - 14.67 50.24 71.54 147.27 151.90
+/- S&P 500 -1.63 -7.71 - -15.04 -60.61 -75.95 -92.90 269.33

Strategy Description

Summary

There is a void in the landscape of the managed futures industry. On one side of this void are hundreds of small ‘emerging’ traders with neither the length of track record to suggest a robust trading method nor the institutional infrastructure to suggest a legitimate business model.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
18%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
10.00%
4-12 Months
60.00%
1-3 Months
30.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
24.00%
Grains
17.00%
Softs
17.00%
Energy
11.00%
Precious Metals
7.00%
Interest Rates
7.00%
Livestock
7.00%
Stock Indices
7.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

There is a void in the landscape of the managed futures industry. On one side of this void are hundreds of small ‘emerging’ traders with neither the length of track record to suggest a robust trading method nor the institutional infrastructure to suggest a legitimate business model. Next to ‘emerging’ traders there are ‘experimental’ traders. Usually headed by an ex-rising star at a large bank or hedge fund, these managers attract significant assets very quickly. While some of these firms have institutional infrastructure, they lack actual trading history. On the other side of the void are large billion-dollar trading firms with solid (but deteriorating) track records and institutional-grade infrastructures, yet offer very little in terms of diversification and flexibility. CCM is a ‘Boutique’ CTA designed to fill the void between these options. Our investors want a CTA that offers the best of both worlds, a CTA with an innovative trading model that yields unique and reliable return streams as well as institutional-grade infrastructure. A Boutique firm remains small enough to have meaningful exposure to all market sectors yet secure enough to have institutional-grade compliance, technology, and back-office services. Boutique investors want their investment tailored to their unique needs and they demand a track record that spans multiple economic cycles. Founded in 1999 CCM manages approximately $300 million in customer assets for clients around the world. The firm operates out of its headquarters in Nashville with a fully-redundant branch office in Chicago. The co-founders remain focused on the refinement of their core strategy which has not changed since the inception of the firm. CCM partners with select institutional clients in the development of customized trading models that achieve specific risk and return stream objectives. Our long-standing offerings, the Original and Aggressive Programs, will continue to be offered until capacity limits are reached.

Investment Strategy

Aggressive Program is a leveraged application of the standard Covenant Original Program. CCM was founded on the central belief that freely-traded financial markets exhibit a profound inefficiency. This tendency, technically speaking, is the leptokurtic distribution of price movements. In more common terms, this is referred to as a Non-Normal, or Non-Gaussian bell curve. The peak of the curve is higher than it should be, the shoulders are narrower, and the tails of the curve are larger. Often times this phenomenon is referred to as the ‘fat-tailed’ distribution of price moves. This tendency of markets is not an opinion or theory, but a matter of historical fact. It has been recurrent and undeniable over any historical timeframe. The Non-Normal distribution of price moves is the generator of CCM’s performance. Although many other managers combine various strategies in their investment models, it is our contention that increasing complexity is always met with decreasing efficacy and that alternative methods lack the robustness of our core strategy. We rely on statistical expectancy rather than fundamental analysis in our trading decisions and our trading and risk management parameters are algorithmic rather than discretionary. Our clients understand that our philosophy is expressed by methodically ‘capturing’ market moves rather than attempting to ‘predict’ them. Research at CCM is founded upon the application of the scientific method. There is a continuous effort at CCM to disprove ourselves as well as our methods of trading and this process of continual self-analysis reveals opportunities for improvement in our execution. Our models are constructed to emphasize mathematical principals over empirical observations. We anticipate short-term periods of deviation from expected performance and we maintain a protocol of discipline that is essential to long-term success.

Risk Management

Fix fractional entry risk with weighted profit accrual sanctioning methodology and portfolio level exposure limitations.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-28.71 39 - 1/1/2015 4/1/2018
-20.41 14 10 1/1/2006 3/1/2007
-16.29 12 4 5/1/2013 5/1/2014
-14.68 14 3 4/1/2011 6/1/2012
-12.48 2 9 6/1/2008 8/1/2008
-10.89 4 4 3/1/2004 7/1/2004
-9.41 4 6 11/1/2009 3/1/2010
-7.57 1 3 1/1/2013 2/1/2013
-7.15 1 3 9/1/2012 10/1/2012
-6.92 1 1 9/1/2009 10/1/2009
-5.01 1 2 2/1/2008 3/1/2008
-3.96 1 2 5/1/2009 6/1/2009
-2.77 1 1 12/1/2004 1/1/2005
-2.05 1 1 12/1/2010 1/1/2011
-0.89 1 1 2/1/2011 3/1/2011
-0.78 1 1 9/1/2005 10/1/2005
-0.61 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
55.46 8 2/1/2005 9/1/2005
37.95 6 8/1/2014 1/1/2015
36.37 3 11/1/2005 1/1/2006
35.84 2 11/1/2004 12/1/2004
27.92 2 1/1/2008 2/1/2008
21.23 3 7/1/2012 9/1/2012
20.16 3 8/1/2010 10/1/2010
19.33 2 9/1/2007 10/1/2007
15.91 3 7/1/2009 9/1/2009
14.78 3 4/1/2008 6/1/2008
13.66 4 4/1/2007 7/1/2007
12.29 1 11/1/2009 11/1/2009
12.14 2 4/1/2009 5/1/2009
10.92 3 11/1/2012 1/1/2013
10.26 5 8/1/2006 12/1/2006
9.90 3 3/1/2013 5/1/2013
8.77 2 8/1/2004 9/1/2004
8.34 2 2/1/2004 3/1/2004
7.08 1 12/1/2010 12/1/2010
5.51 1 4/1/2011 4/1/2011
5.42 1 4/1/2010 4/1/2010
4.74 3 9/1/2008 11/1/2008
4.72 2 1/1/2009 2/1/2009
4.33 2 7/1/2011 8/1/2011
4.07 1 2/1/2014 2/1/2014
3.47 1 1/1/2018 1/1/2018
3.32 1 6/1/2004 6/1/2004
2.74 1 2/1/2012 2/1/2012
2.53 1 10/1/2017 10/1/2017
2.40 1 2/1/2011 2/1/2011
2.36 1 5/1/2012 5/1/2012
2.11 3 10/1/2013 12/1/2013
2.03 2 11/1/2011 12/1/2011
1.55 1 9/1/2015 9/1/2015
1.30 2 6/1/2016 7/1/2016
1.24 1 5/1/2017 5/1/2017
1.24 1 4/1/2016 4/1/2016
1.12 2 5/1/2018 6/1/2018
1.00 1 6/1/2015 6/1/2015
0.96 1 8/1/2018 8/1/2018
0.81 1 2/1/2007 2/1/2007
0.75 1 6/1/2014 6/1/2014
0.69 1 12/1/2016 12/1/2016
0.64 1 11/1/2015 11/1/2015
0.61 2 3/1/2006 4/1/2006
0.55 1 9/1/2016 9/1/2016
0.51 1 8/1/2013 8/1/2013
0.44 1 6/1/2010 6/1/2010
0.28 1 2/1/2017 2/1/2017
0.09 1 2/1/2010 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.71 2 7/1/2015 8/1/2015
-12.48 2 7/1/2008 8/1/2008
-11.30 3 5/1/2006 7/1/2006
-10.61 4 2/1/2015 5/1/2015
-9.69 1 8/1/2007 8/1/2007
-9.69 1 3/1/2007 3/1/2007
-9.56 2 6/1/2013 7/1/2013
-8.97 2 4/1/2004 5/1/2004
-7.96 2 12/1/2009 1/1/2010
-7.57 1 2/1/2013 2/1/2013
-7.28 2 5/1/2011 6/1/2011
-7.15 1 10/1/2012 10/1/2012
-6.92 1 10/1/2009 10/1/2009
-6.77 1 2/1/2006 2/1/2006
-6.73 2 3/1/2012 4/1/2012
-6.01 3 2/1/2018 4/1/2018
-5.89 1 6/1/2012 6/1/2012
-5.78 1 1/1/2014 1/1/2014
-5.25 1 7/1/2004 7/1/2004
-5.13 1 3/1/2009 3/1/2009
-5.01 1 3/1/2008 3/1/2008
-5.01 2 9/1/2011 10/1/2011
-4.70 1 1/1/2007 1/1/2007
-4.27 1 9/1/2013 9/1/2013
-4.02 4 6/1/2017 9/1/2017
-3.96 1 6/1/2009 6/1/2009
-3.92 3 3/1/2014 5/1/2014
-3.60 4 12/1/2015 3/1/2016
-3.32 1 10/1/2015 10/1/2015
-2.77 1 1/1/2005 1/1/2005
-2.05 1 1/1/2011 1/1/2011
-2.05 2 11/1/2007 12/1/2007
-1.71 1 8/1/2016 8/1/2016
-1.66 1 3/1/2010 3/1/2010
-1.51 1 10/1/2004 10/1/2004
-1.42 1 1/1/2012 1/1/2012
-1.20 1 9/1/2018 9/1/2018
-1.13 1 5/1/2016 5/1/2016
-1.11 2 3/1/2017 4/1/2017
-0.89 1 3/1/2011 3/1/2011
-0.79 1 1/1/2017 1/1/2017
-0.78 1 10/1/2005 10/1/2005
-0.68 2 11/1/2017 12/1/2017
-0.61 1 11/1/2010 11/1/2010
-0.58 2 10/1/2016 11/1/2016
-0.45 1 5/1/2010 5/1/2010
-0.34 1 7/1/2010 7/1/2010
-0.32 1 7/1/2014 7/1/2014
-0.26 1 7/1/2018 7/1/2018
-0.24 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods176.00174.00171.00165.00159.00153.00141.00129.00117.00
Percent Profitable56.2556.9053.8062.4271.0778.4374.4779.8481.20
Average Period Return1.073.257.0115.0022.3328.2841.0862.3180.84
Average Gain4.198.7217.2328.1134.7638.4958.5079.32101.00
Average Loss-2.94-3.97-4.89-6.79-8.20-8.82-9.74-5.04-6.18
Best Period23.1136.3762.58110.35197.63187.35170.84275.59316.22
Worst Period-9.69-13.24-19.60-24.41-23.89-25.29-26.12-17.24-16.57
Standard Deviation5.229.4716.2126.6337.3540.7446.9268.9983.50
Gain Standard Deviation4.578.9115.6025.5337.5440.1841.6967.2380.10
Loss Standard Deviation2.653.434.706.707.028.288.664.194.53
Sharpe Ratio (1%)0.190.320.400.530.560.640.810.840.91
Average Gain / Average Loss1.432.193.524.144.244.366.0115.7316.34
Profit / Loss Ratio1.832.904.106.8810.4115.8617.5262.3170.56
Downside Deviation (10%)2.814.095.958.339.3910.1114.2013.2617.04
Downside Deviation (5%)2.653.564.856.286.426.307.774.515.36
Downside Deviation (0%)2.613.444.605.825.785.586.542.923.30
Sortino Ratio (10%)0.240.490.761.201.571.781.783.073.12
Sortino Ratio (5%)0.370.841.342.233.244.174.8912.9214.12
Sortino Ratio (0%)0.410.941.522.583.865.076.2821.3424.53

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 6 1.00 6/2015
Trend Following Strategy Index Month 10 4.89 5/2013
Systematic Trader Index Month 6 6.19 9/2012
Diversified Trader Index Month 5 6.19 9/2012
Trend Following Strategy Index Month 3 6.19 9/2012
IASG CTA Index Month 4 6.19 9/2012
Trend Following Strategy Index Month 6 11.94 7/2012
Systematic Trader Index Month 10 11.94 7/2012
IASG CTA Index 5 Year Rolling 6 215.75 2004 - 2009
Systematic Trader Index Month 5 10.02 8/2009
Trend Following Strategy Index Month 6 10.02 8/2009
IASG CTA Index Month 10 10.02 8/2009
Diversified Trader Index Month 6 10.02 8/2009
Trend Following Strategy Index Month 5 2.82 4/2009
Trend Following Strategy Index Month 8 3.27 1/2009
Trend Following Strategy Index Month 5 3.92 4/2008
Trend Following Strategy Index Month 4 10.12 12/2005
Systematic Trader Index Month 4 10.12 12/2005
IASG CTA Index Year Rolling 1 88.52 2004 - 2005
Diversified Trader Index Month 6 10.12 12/2005
IASG CTA Index Month 7 10.12 12/2005
Trend Following Strategy Index Month 8 14.15 11/2005
Systematic Trader Index Month 8 14.15 11/2005
IASG CTA Index Month 8 14.15 11/2005
Diversified Trader Index Month 8 14.15 11/2005
IASG CTA Index Month 9 9.36 9/2005
Diversified Trader Index Month 8 9.36 9/2005
Trend Following Strategy Index Month 7 9.36 9/2005
Systematic Trader Index Month 7 9.36 9/2005
Systematic Trader Index Month 7 3.84 7/2005
Trend Following Strategy Index Month 5 3.84 7/2005
Diversified Trader Index Month 6 2.85 4/2005
Trend Following Strategy Index Month 4 2.85 4/2005
Systematic Trader Index Month 7 2.85 4/2005
IASG CTA Index Month 10 2.85 4/2005
Diversified Trader Index Month 3 17.12 2/2005
IASG CTA Index Month 3 17.12 2/2005
Trend Following Strategy Index Month 1 17.12 2/2005
Systematic Trader Index Month 1 17.12 2/2005
Trend Following Strategy Index Month 2 10.34 12/2004
Systematic Trader Index Month 2 10.34 12/2004
Diversified Trader Index Month 2 10.34 12/2004
IASG CTA Index Month 3 10.34 12/2004
IASG CTA Index Month 3 23.11 11/2004
Trend Following Strategy Index Month 3 23.11 11/2004
Systematic Trader Index Month 3 23.11 11/2004
Diversified Trader Index Month 3 23.11 11/2004
Trend Following Strategy Index Month 5 4.46 8/2004
Diversified Trader Index Month 8 4.46 8/2004
Systematic Trader Index Month 7 4.46 8/2004
IASG CTA Index Month 6 3.32 6/2004
Systematic Trader Index Month 2 3.32 6/2004
Diversified Trader Index Month 1 3.32 6/2004
Trend Following Strategy Index Month 1 3.32 6/2004
Trend Following Strategy Index Month 5 6.97 3/2004
Systematic Trader Index Month 6 6.97 3/2004
Diversified Trader Index Month 7 6.97 3/2004

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.