Covenant Capital Management : Hedged Equity Program

Year-to-Date
86.45%
Sep Performance
-5.37%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
72.59%
Sharpe (RFR=1%)
1.41
CAROR
-
Assets
$ 2.5M
Worst DD
-8.65
S&P Correlation
-0.38

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
1/2020
Hedged Equity Program -5.37 8.70 86.45 - - - - 86.45
S&P 500 -3.92 8.47 4.09 - - - - 4.26
+/- S&P 500 -1.45 0.23 82.36 - - - - 82.19

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 $200,000 HEP account gives the investor $360,000 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

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

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 $200,000 HEP account gives the investor $360,000 of equity exposure AND a hedge against the risk of that exposure. The capital required to invest and to hedge is reduced from $720,000 to $200,000.

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 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
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Sharpe Ratio: (RF=1%)
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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
-8.65 2 1 1/1/0001 2/1/2020
-5.37 1 - 8/1/2020 9/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
115.68 6 3/1/2020 8/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.65 2 1/1/2020 2/1/2020
-5.37 1 9/1/2020 9/1/2020
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable66.67100.00
Average Period Return8.6335.19
Average Gain15.2935.19
Average Loss-4.68
Best Period62.0682.08
Worst Period-8.288.70
Standard Deviation20.9629.30
Gain Standard Deviation23.1729.30
Loss Standard Deviation3.98
Sharpe Ratio (1%)0.411.19
Average Gain / Average Loss3.27
Profit / Loss Ratio6.53
Downside Deviation (10%)3.49
Downside Deviation (5%)3.33
Downside Deviation (0%)3.29
Sortino Ratio (10%)2.36
Sortino Ratio (5%)2.57
Sortino Ratio (0%)2.62

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.