Covenant Capital Management : Original Program

archived programs
Year-to-Date
N / A
Sep Performance
-1.34%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.41%
Sharpe (RFR=1%)
0.58
CAROR
9.11%
Assets
$ 28.0M
Worst DD
-28.61
S&P Correlation
0.08

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
9/1999
Original Program -1.34 -1.26 - 0.89 -6.36 0.77 55.01 428.25
S&P 500 0.43 7.20 - 14.67 50.24 71.54 147.27 124.84
+/- S&P 500 -1.77 -8.46 - -13.78 -56.59 -70.78 -92.27 303.41

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
$ 5,000k
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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
400 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
28.61%
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

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.

   

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
-28.61 14 9 11/1/2000 1/1/2002
-22.85 38 - 1/1/2015 3/1/2018
-16.29 14 11 1/1/2006 3/1/2007
-14.75 6 5 12/1/1999 6/1/2000
-12.43 8 8 5/1/2013 1/1/2014
-12.21 14 7 4/1/2011 6/1/2012
-11.95 4 4 3/1/2004 7/1/2004
-8.21 2 9 6/1/2008 8/1/2008
-7.33 1 1 2/1/2003 3/1/2003
-6.10 2 2 1/1/0001 10/1/1999
-6.02 4 2 11/1/2009 3/1/2010
-5.64 1 1 9/1/2009 10/1/2009
-4.66 1 2 1/1/2013 2/1/2013
-4.39 1 2 2/1/2008 3/1/2008
-3.86 1 2 6/1/2003 7/1/2003
-2.94 1 1 6/1/2010 7/1/2010
-2.56 1 2 5/1/2009 6/1/2009
-2.49 1 1 12/1/2004 1/1/2005
-2.29 1 1 10/1/2003 11/1/2003
-2.00 1 1 12/1/2010 1/1/2011
-1.36 1 1 5/1/2005 6/1/2005
-0.89 1 1 10/1/2010 11/1/2010
-0.21 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
34.43 7 8/1/2002 2/1/2003
31.47 6 8/1/2014 1/1/2015
30.68 2 5/1/2002 6/1/2002
22.10 2 11/1/2004 12/1/2004
21.29 3 8/1/2003 10/1/2003
20.36 3 4/1/2003 6/1/2003
18.52 4 12/1/2003 3/1/2004
18.31 2 1/1/2008 2/1/2008
17.56 5 7/1/2000 11/1/2000
17.48 3 8/1/2010 10/1/2010
15.73 3 11/1/2005 1/1/2006
15.48 4 2/1/2005 5/1/2005
13.73 3 7/1/2005 9/1/2005
12.98 3 7/1/2012 9/1/2012
12.54 2 9/1/2007 10/1/2007
11.50 3 2/1/2011 4/1/2011
11.30 3 4/1/2008 6/1/2008
11.16 1 3/1/2001 3/1/2001
10.45 3 7/1/2009 9/1/2009
10.22 3 3/1/2013 5/1/2013
9.40 2 2/1/2002 3/1/2002
8.42 2 11/1/1999 12/1/1999
8.14 1 11/1/2009 11/1/2009
7.74 3 4/1/2010 6/1/2010
7.48 2 7/1/2011 8/1/2011
7.37 3 11/1/2012 1/1/2013
6.80 2 4/1/2009 5/1/2009
6.74 1 12/1/2010 12/1/2010
6.13 2 5/1/2001 6/1/2001
5.98 2 8/1/2004 9/1/2004
5.58 2 4/1/2007 5/1/2007
4.50 5 8/1/2006 12/1/2006
3.50 1 10/1/2001 10/1/2001
3.43 3 9/1/2008 11/1/2008
3.26 1 2/1/2014 2/1/2014
2.90 3 4/1/2018 6/1/2018
2.86 1 10/1/2017 10/1/2017
2.82 1 1/1/2018 1/1/2018
2.70 2 1/1/2009 2/1/2009
2.11 1 6/1/2004 6/1/2004
2.02 1 7/1/2007 7/1/2007
1.65 2 11/1/2016 12/1/2016
1.44 1 9/1/2015 9/1/2015
1.23 1 7/1/2017 7/1/2017
1.23 1 5/1/2017 5/1/2017
0.98 1 6/1/2015 6/1/2015
0.94 2 1/1/2012 2/1/2012
0.89 2 3/1/2006 4/1/2006
0.84 2 6/1/2016 7/1/2016
0.83 1 5/1/2012 5/1/2012
0.81 2 3/1/2016 4/1/2016
0.77 1 10/1/2013 10/1/2013
0.72 1 11/1/2015 11/1/2015
0.67 1 2/1/2017 2/1/2017
0.61 1 11/1/2011 11/1/2011
0.60 1 6/1/2014 6/1/2014
0.57 1 8/1/2013 8/1/2013
0.47 1 12/1/2013 12/1/2013
0.21 1 9/1/2016 9/1/2016
0.18 1 2/1/2007 2/1/2007
0.17 1 8/1/2018 8/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.31 3 11/1/2001 1/1/2002
-14.75 6 1/1/2000 6/1/2000
-14.27 3 7/1/2001 9/1/2001
-10.69 2 7/1/2015 8/1/2015
-10.66 3 12/1/2000 2/1/2001
-10.10 2 4/1/2004 5/1/2004
-9.27 2 5/1/2011 6/1/2011
-8.50 4 2/1/2015 5/1/2015
-8.21 3 5/1/2006 7/1/2006
-8.21 2 7/1/2008 8/1/2008
-7.33 1 3/1/2003 3/1/2003
-6.57 2 6/1/2013 7/1/2013
-6.10 2 9/1/1999 10/1/1999
-6.07 1 8/1/2007 8/1/2007
-6.02 4 12/1/2009 3/1/2010
-6.02 1 3/1/2007 3/1/2007
-5.64 1 10/1/2009 10/1/2009
-5.49 1 10/1/2012 10/1/2012
-5.39 1 4/1/2001 4/1/2001
-5.32 1 4/1/2002 4/1/2002
-4.66 1 2/1/2013 2/1/2013
-4.66 2 2/1/2018 3/1/2018
-4.45 2 3/1/2012 4/1/2012
-4.39 1 3/1/2008 3/1/2008
-4.38 1 7/1/2002 7/1/2002
-4.28 1 2/1/2006 2/1/2006
-4.08 1 7/1/2004 7/1/2004
-4.04 2 9/1/2011 10/1/2011
-4.04 1 1/1/2014 1/1/2014
-4.02 1 1/1/2007 1/1/2007
-3.96 1 6/1/2012 6/1/2012
-3.86 1 7/1/2003 7/1/2003
-3.83 1 9/1/2013 9/1/2013
-3.54 2 8/1/2017 9/1/2017
-2.98 3 12/1/2015 2/1/2016
-2.94 1 7/1/2010 7/1/2010
-2.86 1 3/1/2009 3/1/2009
-2.81 1 10/1/2015 10/1/2015
-2.74 3 3/1/2014 5/1/2014
-2.56 1 6/1/2009 6/1/2009
-2.49 1 1/1/2005 1/1/2005
-2.29 1 11/1/2003 11/1/2003
-2.00 1 1/1/2011 1/1/2011
-1.71 2 3/1/2017 4/1/2017
-1.56 2 11/1/2007 12/1/2007
-1.52 2 11/1/2017 12/1/2017
-1.37 1 8/1/2016 8/1/2016
-1.36 1 6/1/2005 6/1/2005
-1.34 1 9/1/2018 9/1/2018
-1.06 1 1/1/2017 1/1/2017
-0.89 1 11/1/2010 11/1/2010
-0.71 1 5/1/2016 5/1/2016
-0.69 1 10/1/2004 10/1/2004
-0.38 1 10/1/2016 10/1/2016
-0.35 1 6/1/2007 6/1/2007
-0.27 1 12/1/2008 12/1/2008
-0.25 1 11/1/2013 11/1/2013
-0.21 1 10/1/2005 10/1/2005
-0.16 1 12/1/2011 12/1/2011
-0.13 1 7/1/2014 7/1/2014
-0.09 1 7/1/2018 7/1/2018
-0.03 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods229.00227.00224.00218.00212.00206.00194.00182.00170.00
Percent Profitable57.2160.7959.8267.4372.1782.0487.6395.0594.12
Average Period Return0.822.565.3311.5218.3125.9645.5068.1989.59
Average Gain3.546.8912.4920.4328.0533.7653.2171.9295.38
Average Loss-2.83-4.16-5.34-6.95-6.95-9.62-9.11-3.67-3.06
Best Period25.1128.3738.9173.94118.47147.99218.33332.59284.62
Worst Period-9.67-19.31-25.06-22.16-23.36-27.22-21.14-10.63-8.67
Standard Deviation4.457.7612.4419.3726.3833.4249.0465.4671.66
Gain Standard Deviation3.746.5310.5217.0524.6031.7547.4965.0069.89
Loss Standard Deviation2.123.645.536.626.818.297.423.362.49
Sharpe Ratio (1%)0.170.300.390.540.640.720.870.981.18
Average Gain / Average Loss1.251.652.342.944.043.515.8419.5931.20
Profit / Loss Ratio1.692.573.486.0910.4716.0241.37376.65499.21
Downside Deviation (10%)2.524.076.087.888.639.6110.209.1011.50
Downside Deviation (5%)2.343.575.085.895.716.034.991.982.18
Downside Deviation (0%)2.303.454.865.465.115.354.101.080.94
Sortino Ratio (10%)0.170.330.470.831.241.632.925.135.39
Sortino Ratio (5%)0.320.650.951.792.943.978.5232.4638.73
Sortino Ratio (0%)0.360.741.102.113.584.8511.1063.2195.67

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 0.98 6/2015
Diversified Trader Index Month 8 5.17 10/2014
Systematic Trader Index Month 10 5.17 10/2014
Trend Following Strategy Index Month 7 4.04 9/2012
Trend Following Strategy Index Month 9 6.65 8/2009
Trend Following Strategy Index Month 8 1.58 4/2009
Trend Following Strategy Index Month 7 3.29 4/2008
IASG CTA Index 5 Year Rolling 9 165.23 2002 - 2007
IASG CTA Index 5 Year Rolling 4 280.97 2001 - 2006
IASG CTA Index 5 Year Rolling 4 208.34 2000 - 2005
IASG CTA Index Year Rolling 5 40.52 2004 - 2005
IASG CTA Index 3 Year Rolling 5 173.23 2002 - 2005
Systematic Trader Index Month 9 7.59 9/2005
Trend Following Strategy Index Month 8 7.59 9/2005
Diversified Trader Index Month 10 7.59 9/2005
Trend Following Strategy Index Month 9 3.44 7/2005
Trend Following Strategy Index Month 10 1.09 4/2005
Diversified Trader Index Month 6 11.14 2/2005
IASG CTA Index Month 7 11.14 2/2005
Systematic Trader Index Month 4 11.14 2/2005
Trend Following Strategy Index Month 3 11.14 2/2005
Systematic Trader Index Month 3 6.60 12/2004
Diversified Trader Index Month 3 6.60 12/2004
IASG CTA Index Month 4 6.60 12/2004
IASG CTA Index 3 Year Rolling 4 181.91 2001 - 2004
Trend Following Strategy Index Month 3 6.60 12/2004
IASG CTA Index Month 6 14.54 11/2004
Trend Following Strategy Index Month 6 14.54 11/2004
Diversified Trader Index Month 6 14.54 11/2004
Systematic Trader Index Month 6 14.54 11/2004
Systematic Trader Index Month 6 2.11 6/2004
Diversified Trader Index Month 3 2.11 6/2004
Trend Following Strategy Index Month 3 2.11 6/2004
Trend Following Strategy Index Month 5 4.86 1/2004
Systematic Trader Index Month 6 4.86 1/2004
IASG CTA Index Month 10 4.86 1/2004
Diversified Trader Index Month 7 4.86 1/2004
IASG CTA Index Year Rolling 9 51.73 2002 - 2003
Trend Following Strategy Index Month 9 11.35 10/2003
Systematic Trader Index Month 10 11.35 10/2003
Systematic Trader Index Month 10 6.61 9/2003
Trend Following Strategy Index Month 10 6.61 9/2003
Diversified Trader Index Month 6 1.56 6/2003
Systematic Trader Index Month 7 1.56 6/2003
Trend Following Strategy Index Month 5 1.56 6/2003
Diversified Trader Index Month 2 11.74 4/2003
Trend Following Strategy Index Month 1 11.74 4/2003
Systematic Trader Index Month 1 11.74 4/2003
IASG CTA Index Month 2 11.74 4/2003
Trend Following Strategy Index Month 5 13.66 1/2003
Systematic Trader Index Month 6 13.66 1/2003
IASG CTA Index Month 7 13.66 1/2003
Diversified Trader Index Month 7 13.66 1/2003
IASG CTA Index Month 10 2.82 11/2002
Systematic Trader Index Month 6 2.82 11/2002
Diversified Trader Index Month 4 2.82 11/2002
Trend Following Strategy Index Month 3 2.82 11/2002
Trend Following Strategy Index Month 1 4.42 10/2002
Systematic Trader Index Month 2 4.42 10/2002
Diversified Trader Index Month 4 4.42 10/2002
IASG CTA Index Month 6 4.42 10/2002
IASG CTA Index Month 2 25.11 5/2002
Systematic Trader Index Month 1 25.11 5/2002
Trend Following Strategy Index Month 1 25.11 5/2002
Diversified Trader Index Month 2 25.11 5/2002
Trend Following Strategy Index Month 9 8.37 3/2002
Systematic Trader Index Month 10 8.37 3/2002
Diversified Trader Index Month 10 8.37 3/2002
Diversified Trader Index Month 6 0.95 2/2002
Systematic Trader Index Month 8 0.95 2/2002
Trend Following Strategy Index Month 4 0.95 2/2002
Diversified Trader Index Month 8 3.84 5/2001
Trend Following Strategy Index Month 7 3.84 5/2001
Trend Following Strategy Index Month 9 0.42 9/2000
IASG CTA Index Month 7 3.80 7/2000
Diversified Trader Index Month 4 3.80 7/2000
Systematic Trader Index Month 5 3.80 7/2000
Trend Following Strategy Index Month 3 3.80 7/2000
Trend Following Strategy Index Month 10 -4.46 10/1999

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