Covenant Capital Management : Optimal Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance -18.09% Min Investment $ 10k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 82.51% Sharpe (RFR=1%) -0.03 CAROR -30.23% Assets $ 2.0M Worst DD -95.11 S&P Correlation 0.21 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since2/2014 Optimal Program -18.09 -15.00 - -8.43 -79.26 - - -81.37 S&P 500 0.43 7.20 - 14.67 50.24 - - 55.13 +/- S&P 500 -18.52 -22.20 - -23.10 -129.49 - - -136.50 Strategy Description SummaryThe Optimal Program is designed to give an investor the highest return and risk adjusted return. This program seeks volatility. This program should only be considered as component of a “barbell” investment strategy, placing the majority of assets in “safe” investments and a small... Read More Account & Fees Type Managed Account Minimum Investment $ 10k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 650 RT/YR/$M Avg. Margin-to-Equity 85% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 10.00% 4-12 Months 30.00% 1-3 Months 60.00% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Stock Indices 20.00% Currency Futures 17.00% Interest Rates 15.00% Energy 13.00% Grains 13.00% Precious Metals 9.00% Softs 9.00% Livestock 4.00% SummaryThe Optimal Program is designed to give an investor the highest return and risk adjusted return. This program seeks volatility. This program should only be considered as component of a “barbell” investment strategy, placing the majority of assets in “safe” investments and a small minority in very aggressive investments. Participants in this program must be prepared for vastly larger drawdowns and greater volatility of than either the Original Program or Aggressive Program. Annual drawdowns of greater than 80% from daily peaks to valleys are expected and should be incorporated into a client’s decision to invest in the Optimal Program. Clients should only invest in this program if they have a minimum investment horizon of at least 3-5 years. CCM does not limit or target maximum drawdowns in the Optimal Program. Clients should be aware that drawdowns and volatility will be extreme with maximum drawdowns exceeding 90%. Clients should be aware that total losses may be much larger than anticipated and may greatly exceed expectations. Investment StrategyThis program will take the same trading signals as the Original Program; however, it will allocate much larger risk to each new trade taken. This will result in extremely volatile swings in account equity. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -95.11 38 - 1/1/2015 3/1/2018 -21.97 3 4 2/1/2014 5/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 236.65 8 6/1/2014 1/1/2015 46.76 2 3/1/2016 4/1/2016 44.92 1 10/1/2017 10/1/2017 44.69 1 1/1/2018 1/1/2018 33.44 2 11/1/2016 12/1/2016 31.91 2 6/1/2016 7/1/2016 31.54 3 4/1/2018 6/1/2018 29.82 1 2/1/2014 2/1/2014 19.60 1 7/1/2017 7/1/2017 19.49 1 5/1/2017 5/1/2017 15.85 1 9/1/2016 9/1/2016 15.62 1 9/1/2015 9/1/2015 15.27 1 11/1/2015 11/1/2015 10.19 1 2/1/2017 2/1/2017 6.86 1 6/1/2015 6/1/2015 4.49 1 8/1/2018 8/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -66.91 2 7/1/2015 8/1/2015 -62.44 3 12/1/2015 2/1/2016 -49.59 2 2/1/2018 3/1/2018 -36.79 2 8/1/2017 9/1/2017 -36.47 1 10/1/2015 10/1/2015 -35.72 1 8/1/2016 8/1/2016 -35.56 4 2/1/2015 5/1/2015 -32.93 1 5/1/2016 5/1/2016 -23.70 2 3/1/2017 4/1/2017 -22.52 2 11/1/2017 12/1/2017 -21.97 3 3/1/2014 5/1/2014 -18.09 1 9/1/2018 9/1/2018 -14.02 1 1/1/2017 1/1/2017 -1.77 1 10/1/2016 10/1/2016 -0.69 1 7/1/2018 7/1/2018 -0.49 1 6/1/2017 6/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods56.0054.0051.0045.0039.0033.0021.00 Percent Profitable50.0038.8935.2931.1112.823.030.00 Average Period Return-0.16-1.151.58-10.42-46.60-62.18-83.41 Average Gain18.1636.7367.6576.577.1910.30 Average Loss-18.47-25.25-34.46-49.70-54.51-64.45-83.41 Best Period79.67143.60229.64241.0217.0810.30-68.88 Worst Period-50.14-64.64-82.26-92.40-93.65-92.30-94.43 Standard Deviation23.8242.4471.5676.8934.7930.038.69 Gain Standard Deviation16.7241.3680.8477.976.28 Loss Standard Deviation13.4419.3327.0930.1829.7727.508.69 Sharpe Ratio (1%)-0.01-0.030.02-0.15-1.38-2.14-9.95 Average Gain / Average Loss0.981.451.961.540.130.16 Profit / Loss Ratio0.980.931.070.700.020.00 Downside Deviation (10%)16.2925.4936.6551.6664.1478.2499.53 Downside Deviation (5%)16.1024.8835.3748.7759.0370.6686.85 Downside Deviation (0%)16.0524.7235.0548.0557.7968.8383.84 Sortino Ratio (10%)-0.03-0.09-0.02-0.30-0.84-0.93-1.00 Sortino Ratio (5%)-0.01-0.060.03-0.23-0.81-0.91-1.00 Sortino Ratio (0%)-0.01-0.050.05-0.22-0.81-0.90-0.99 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Month 1 9.29 6/2018 Trend Following Strategy Index Month 1 9.29 6/2018 Systematic Trader Index Month 1 9.29 6/2018 Diversified Trader Index Month 1 9.29 6/2018 Diversified Trader Index Month 1 18.01 5/2018 Systematic Trader Index Month 1 18.01 5/2018 IASG CTA Index Month 1 18.01 5/2018 Trend Following Strategy Index Month 1 18.01 5/2018 Trend Following Strategy Index Month 8 1.99 4/2018 Trend Following Strategy Index Month 8 1.99 4/2018 Diversified Trader Index Month 1 44.69 1/2018 Systematic Trader Index Month 1 44.69 1/2018 Trend Following Strategy Index Month 1 44.69 1/2018 IASG CTA Index Month 1 44.69 1/2018 IASG CTA Index Month 1 44.92 10/2017 Trend Following Strategy Index Month 1 44.92 10/2017 Systematic Trader Index Month 1 44.92 10/2017 Diversified Trader Index Month 1 44.92 10/2017 Trend Following Strategy Index Month 1 19.60 7/2017 IASG CTA Index Month 1 19.60 7/2017 Systematic Trader Index Month 1 19.60 7/2017 Diversified Trader Index Month 1 19.60 7/2017 Diversified Trader Index Month 1 21.09 5/2017 Systematic Trader Index Month 1 21.09 5/2017 IASG CTA Index Month 1 21.09 5/2017 Trend Following Strategy Index Month 1 21.09 5/2017 IASG CTA Index Month 1 9.81 2/2017 Trend Following Strategy Index Month 1 9.81 2/2017 Systematic Trader Index Month 1 9.81 2/2017 Diversified Trader Index Month 1 9.81 2/2017 Diversified Trader Index Month 1 14.42 12/2016 Systematic Trader Index Month 1 14.42 12/2016 IASG CTA Index Month 1 14.42 12/2016 Trend Following Strategy Index Month 1 14.42 12/2016 Trend Following Strategy Index Month 2 13.53 11/2016 Systematic Trader Index Month 2 13.53 11/2016 IASG CTA Index Month 3 13.53 11/2016 Diversified Trader Index Month 3 13.53 11/2016 Trend Following Strategy Index Month 1 15.85 9/2016 Systematic Trader Index Month 1 15.85 9/2016 Diversified Trader Index Month 1 15.85 9/2016 Diversified Trader Index Month 1 22.90 7/2016 Systematic Trader Index Month 1 22.90 7/2016 Trend Following Strategy Index Month 1 22.90 7/2016 Trend Following Strategy Index Month 1 33.85 4/2016 Systematic Trader Index Month 1 33.85 4/2016 Diversified Trader Index Month 1 33.85 4/2016 Trend Following Strategy Index Month 1 9.83 3/2016 Diversified Trader Index Month 3 9.83 3/2016 Systematic Trader Index Month 4 9.83 3/2016 Diversified Trader Index Month 3 15.50 11/2015 Trend Following Strategy Index Month 3 15.50 11/2015 Systematic Trader Index Month 3 15.50 11/2015 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel