Covenant Capital Management : Total Volatility Program (P&C) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.91% Jan Performance -3.91% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 18.69% Sharpe (RFR=1%) 0.77 CAROR 14.61% Assets $ 4.5M Worst DD -13.84 S&P Correlation 0.42 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since1/2018 Total Volatility Program (P&C) -3.91 -5.99 -3.91 8.21 - - - 32.86 S&P 500 -0.16 6.19 -0.16 19.27 - - - 14.22 +/- S&P 500 -3.75 -12.18 -3.75 -11.06 - - - 18.64 Strategy Description SummaryPerformance is Proprietary from inception of trading through 09 2018. Customer accounts and since 10 2018.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 0% Performance Fee 25.00% Average Commission $10.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3500 RT/YR/$M Avg. Margin-to-Equity 20% 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 20.00% 1-30 Days 80.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 85.00% Other 15.00% Composition VIX 60.00% Stock Indices 40.00% SummaryPerformance is Proprietary from inception of trading through 09 2018. Customer accounts and since 10 2018.Investment StrategyAs fear of market declines ebb and flow, inconsistencies form between current and expected volatility of the S&P 500. Total Volatility captures the inconsistencies between 30-day and expected 30-day volatility. The program also analyzes the troughs and bubbles of the longer term VIX structure. When the troughs are too low or the bubbles too high, Total Volatility seeks to seize on these irregularities as well. 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 -13.84 1 4 4/1/2019 5/1/2019 -8.10 8 3 2/1/2018 10/1/2018 -7.01 2 - 11/1/2019 1/1/2020 -0.75 1 1 1/1/2019 2/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.91 6 6/1/2019 11/1/2019 15.88 3 11/1/2018 1/1/2019 15.29 2 1/1/2018 2/1/2018 5.56 2 3/1/2019 4/1/2019 5.05 3 7/1/2018 9/1/2018 2.08 2 4/1/2018 5/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -13.84 1 5/1/2019 5/1/2019 -7.46 1 10/1/2018 10/1/2018 -7.01 2 12/1/2019 1/1/2020 -6.41 1 3/1/2018 3/1/2018 -1.05 1 6/1/2018 6/1/2018 -0.75 1 2/1/2019 2/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods25.0023.0020.0014.008.00 Percent Profitable72.0069.5780.00100.00100.00 Average Period Return1.293.827.4714.9021.31 Average Gain3.828.139.7514.9021.31 Average Loss-5.24-6.03-1.63 Best Period11.7718.2728.9133.3830.50 Worst Period-13.84-9.05-2.680.637.07 Standard Deviation5.408.278.149.218.01 Gain Standard Deviation3.085.767.499.218.01 Loss Standard Deviation4.542.301.10 Sharpe Ratio (1%)0.220.430.861.512.47 Average Gain / Average Loss0.731.355.97 Profit / Loss Ratio1.883.0823.90 Downside Deviation (10%)3.724.181.941.170.19 Downside Deviation (5%)3.593.661.040.10 Downside Deviation (0%)3.553.530.85 Sortino Ratio (10%)0.240.622.588.4774.08 Sortino Ratio (5%)0.340.976.68139.21 Sortino Ratio (0%)0.361.088.84 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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