Covenant Capital Management : Tactical Growth Program

Year-to-Date
12.21%
Oct Performance
2.73%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
12.44%
Sharpe (RFR=1%)
0.78
CAROR
10.42%
Assets
$ 1.4M
Worst DD
-11.51
S&P Correlation
0.49

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 2.73 10.56 12.21 17.82 - - - 32.44
S&P 500 2.04 1.92 21.16 12.01 - - - 31.94
+/- S&P 500 0.69 8.64 -8.95 5.81 - - - 0.50

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
-11.51 1 4 4/1/2019 5/1/2019
-7.22 8 3 2/1/2018 10/1/2018
-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
17.16 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
4.36 2 3/1/2019 4/1/2019
3.95 1 7/1/2017 7/1/2017
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
0.99 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.51 1 5/1/2019 5/1/2019
-6.49 1 3/1/2018 3/1/2018
-4.79 1 10/1/2018 10/1/2018
-3.17 1 8/1/2017 8/1/2017
-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
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable67.6565.6386.2195.65100.00
Average Period Return0.892.343.497.2610.35
Average Gain2.575.244.427.6710.35
Average Loss-2.61-3.19-2.35-1.90
Best Period7.0310.5613.6419.0816.79
Worst Period-11.51-7.65-3.08-1.901.20
Standard Deviation3.595.104.265.255.44
Gain Standard Deviation2.043.213.814.965.44
Loss Standard Deviation3.672.961.00
Sharpe Ratio (1%)0.230.410.701.191.63
Average Gain / Average Loss0.981.641.884.03
Profit / Loss Ratio2.063.1411.7688.62
Downside Deviation (10%)2.633.072.031.982.42
Downside Deviation (5%)2.512.611.110.610.07
Downside Deviation (0%)2.482.500.930.40
Sortino Ratio (10%)0.190.360.501.141.14
Sortino Ratio (5%)0.320.802.7010.33120.57
Sortino Ratio (0%)0.360.943.7518.27

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 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.