Covenant Capital Management : Tactical Growth Program

Year-to-Date
8.92%
Oct Performance
-1.28%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
15.83%
Sharpe (RFR=1%)
0.60
CAROR
9.69%
Assets
$ 1.1M
Worst DD
-10.53
S&P Correlation
-0.16

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
Tactical Growth Program -1.28 -4.43 8.92 6.17 28.97 - - 42.55
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 42.03
+/- S&P 500 1.49 -4.40 7.70 -1.48 2.00 - - 0.52

Strategy Description

Summary

As fear of market declines ebb and flow, inconsistencies form between current and expected volatility of the S&P 500. Tactical Growth captures these inconsistencies between 30-day and anticipated future 30-day volatility. Tactical Growth relies upon neither one market direction nor... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $10.00
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 1200 RT/YR/$M
Avg. Margin-to-Equity 17%
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

Arbitrage
65.00%
Other
35.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
VIX
40.00%
Composition Pie Chart

Summary

As fear of market declines ebb and flow, inconsistencies form between current and expected volatility of the S&P 500. Tactical Growth captures these inconsistencies between 30-day and anticipated future 30-day volatility. Tactical Growth relies upon neither one market direction nor one volatility profile that may have been predominant in past market movements. The program listens to the market and adapts to the present opportunity.

   

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
-10.53 1 4 4/1/2019 5/1/2019
-10.38 6 - 4/1/2020 10/1/2020
-7.22 8 3 2/1/2018 10/1/2018
-4.46 3 2 10/1/2019 1/1/2020
-3.17 1 5 7/1/2017 8/1/2017
-1.10 1 1 5/1/2017 6/1/2017
-0.56 1 1 1/1/2019 2/1/2019
-0.21 1 2 1/1/2017 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
23.98 3 2/1/2020 4/1/2020
18.16 5 6/1/2019 10/1/2019
9.74 2 1/1/2018 2/1/2018
9.51 3 11/1/2018 1/1/2019
8.24 3 3/1/2017 5/1/2017
3.95 1 7/1/2017 7/1/2017
3.75 2 3/1/2019 4/1/2019
3.07 3 7/1/2018 9/1/2018
1.96 1 1/1/2017 1/1/2017
1.71 2 4/1/2018 5/1/2018
1.24 1 9/1/2020 9/1/2020
0.99 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.53 1 5/1/2019 5/1/2019
-10.33 4 5/1/2020 8/1/2020
-6.49 1 3/1/2018 3/1/2018
-4.79 1 10/1/2018 10/1/2018
-4.46 3 11/1/2019 1/1/2020
-3.17 1 8/1/2017 8/1/2017
-1.28 1 10/1/2020 10/1/2020
-1.10 1 6/1/2017 6/1/2017
-0.60 1 6/1/2018 6/1/2018
-0.56 1 2/1/2019 2/1/2019
-0.28 3 10/1/2017 12/1/2017
-0.21 1 2/1/2017 2/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable58.7059.0985.3797.14100.00100.00
Average Period Return0.872.645.5110.8314.9420.72
Average Gain3.127.097.2411.1914.9420.72
Average Loss-2.33-3.78-4.55-1.39
Best Period22.1923.9821.2736.9241.4940.26
Worst Period-10.53-8.33-10.38-1.392.113.18
Standard Deviation4.577.407.098.729.5210.06
Gain Standard Deviation4.286.275.998.599.5210.06
Loss Standard Deviation2.702.573.96
Sharpe Ratio (1%)0.170.320.711.131.411.86
Average Gain / Average Loss1.341.871.598.04
Profit / Loss Ratio1.902.719.29273.45
Downside Deviation (10%)2.443.583.081.491.661.82
Downside Deviation (5%)2.293.032.370.40
Downside Deviation (0%)2.252.902.220.24
Sortino Ratio (10%)0.190.400.993.924.435.75
Sortino Ratio (5%)0.340.792.1124.32
Sortino Ratio (0%)0.390.912.4846.05

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 10 1.24 9/2020
Stock Index Trader Index Month 4 17.47 3/2020
Stock Index Trader Index Month 10 0.71 2/2020
Stock Index Trader Index Month 6 2.73 10/2019
Stock Index Trader Index Month 2 5.14 9/2019
Systematic Trader Index Month 3 5.14 9/2019
Stock Index Trader Index Month 9 2.36 8/2019
Stock Index Trader Index Month 5 1.42 7/2019
Stock Index Trader Index Month 3 5.16 6/2019
Stock Index Trader Index Month 1 4.19 3/2019
Stock Index Trader Index Month 4 4.30 1/2019
Stock Index Trader Index Month 6 1.19 12/2018

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