Covenant Capital Management : Optimal Program

archived programs
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

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
2/2014
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

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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 Strategy

This 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.

   

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
-95.11 38 - 1/1/2015 3/1/2018
-21.97 3 4 2/1/2014 5/1/2014
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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
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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
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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.