Covenant Capital Management : Hedged Equity Program

Year-to-Date
3.16%
Feb Performance
4.49%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
59.79%
Sharpe (RFR=1%)
1.39
CAROR
-
Assets
$ 1.9M
Worst DD
-10.08
S&P Correlation
-0.23

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2020
Hedged Equity Program 4.49 8.16 3.16 146.75 - - - 125.41
S&P 500 5.94 8.65 4.76 33.19 - - - 21.99
+/- S&P 500 -1.45 -0.49 -1.60 113.56 - - - 103.42

Strategy Description

Investment Strategy

The Hedged Equity Program (HEP) is designed as a cash efficient means to deliver superior risk adjusted and total returns to the S&P 500.

Cash Efficiency - A $100,000 HEP account gives the investor $180,000 of equity exposure AND a hedge against the risk of that... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

The Hedged Equity Program (HEP) is designed as a cash efficient means to deliver superior risk adjusted and total returns to the S&P 500.

Cash Efficiency - A $100,000 HEP account gives the investor $180,000 of equity exposure AND a hedge against the risk of that exposure. The capital required to invest AND to hedge is reduced from $360,000 to $100,000.

Enhanced Returns - The HEP is expected to outperform the S&P 500 on a risk adjusted and total return basis by reducing or even reversing losses during times of crisis.

The trading results shown herein reflect the performance of a proprietary account traded in the Hedged Equity Program. Results reflect all trading costs and a 25% incentive fee. CCM began taking client money into the program in August of 2020. CCM has also backtested the performance of the program from 2007 through 2016, and finds the live trading consistent with expectations.

   

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
-10.08 2 1 8/1/2020 10/1/2020
-8.65 2 1 1/1/0001 2/1/2020
-1.27 1 1 12/1/2020 1/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
115.68 6 3/1/2020 8/1/2020
23.33 2 11/1/2020 12/1/2020
4.49 1 2/1/2021 2/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.08 2 9/1/2020 10/1/2020
-8.65 2 1/1/2020 2/1/2020
-1.27 1 1/1/2021 1/1/2021
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable64.2991.67100.00
Average Period Return7.0324.8643.25
Average Gain13.1927.2043.25
Average Loss-4.06-0.88
Best Period62.0682.08115.68
Worst Period-8.28-0.888.91
Standard Deviation17.2625.7136.65
Gain Standard Deviation18.9625.5936.65
Loss Standard Deviation3.22
Sharpe Ratio (1%)0.400.961.17
Average Gain / Average Loss3.2531.09
Profit / Loss Ratio5.85341.95
Downside Deviation (10%)3.180.61
Downside Deviation (5%)3.020.32
Downside Deviation (0%)2.980.25
Sortino Ratio (10%)2.0838.95
Sortino Ratio (5%)2.3075.85
Sortino Ratio (0%)2.3698.42

Top Performer Badges

Index Award Type Rank Performance Period

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