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/ Covenant Capital Management / Total Volatility Program (P&C)

Covenant Capital Management : Total Volatility Program (P&C)

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Year-to-Date
1.87%
Mar Performance
6.98%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
25.88%
Sharpe (RFR=1%)
0.72
CAROR
17.84%
Assets
$ 7.2M
Worst DD
-16.30
S&P Correlation
-0.10
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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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2018
Total Volatility Program (P&C) 6.98 1.87 1.87 -3.39 58.01 - - 70.50
S&P 500 4.24 9.21 9.21 58.70 55.31 - - 45.25
+/- S&P 500 2.74 -7.34 -7.34 -62.09 2.70 - - 25.25

Strategy Description

Summary

Performance is Proprietary from inception of trading through 09 2018. Customer accounts and since 10 2018.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
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 Any Investor
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%
Strategy Pie Chart

Composition

VIX
60.00%
Stock Indices
40.00%
Composition Pie Chart

Summary

Performance is Proprietary from inception of trading through 09 2018. Customer accounts and since 10 2018.

Investment Strategy

As 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.

   

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

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
-16.30 10 - 3/1/2020 1/1/2021
-13.84 1 4 4/1/2019 5/1/2019
-8.10 8 3 2/1/2018 10/1/2018
-7.01 2 2 11/1/2019 1/1/2020
-0.75 1 1 1/1/2019 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
32.83 2 2/1/2020 3/1/2020
28.91 6 6/1/2019 11/1/2019
15.88 3 11/1/2018 1/1/2019
15.43 2 2/1/2021 3/1/2021
15.29 2 1/1/2018 2/1/2018
9.71 1 11/1/2020 11/1/2020
6.05 1 9/1/2020 9/1/2020
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.84 1 5/1/2019 5/1/2019
-13.83 5 4/1/2020 8/1/2020
-13.59 2 12/1/2020 1/1/2021
-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
-3.39 1 10/1/2020 10/1/2020
-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 Month2 Year3 Year4 Year5 Year
Number of Periods39.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable61.5433.3350.000.0088.8983.3397.2281.2565.00
Average Period Return1.63-4.890.42-7.5316.9915.9626.8928.2422.59
Average Gain5.501.875.1719.2020.7227.7134.7634.76
Average Loss-4.56-8.26-4.32-7.53-0.63-7.82-1.81
Best Period32.081.875.99-1.7031.6238.0663.5576.4876.48
Worst Period-13.84-11.75-8.41-16.30-0.91-13.30-1.810.000.00
Standard Deviation7.476.815.754.6510.7115.6621.5425.2725.27
Gain Standard Deviation6.491.209.1312.2921.2823.6123.61
Loss Standard Deviation3.934.933.714.650.404.12
Sharpe Ratio (1%)0.21-0.75-0.01-1.831.450.891.110.960.69
Average Gain / Average Loss1.210.231.2030.382.6515.34
Profit / Loss Ratio1.930.111.20243.0113.24536.82
Downside Deviation (10%)3.888.265.2613.302.998.057.0911.1418.37
Downside Deviation (5%)3.727.514.039.620.724.281.001.763.03
Downside Deviation (0%)3.687.323.738.750.233.510.30
Sortino Ratio (10%)0.32-0.74-0.39-0.943.140.711.570.60-0.27
Sortino Ratio (5%)0.42-0.68-0.02-0.8921.573.2623.9713.715.78
Sortino Ratio (0%)0.44-0.670.11-0.8673.654.5589.30

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 7.91 2/2021
IASG CTA Index 3 Year 8 67.37 2017 - 2020
Stock Index Trader Index Month 2 9.71 11/2020
Systematic Trader Index Month 6 6.05 9/2020
Stock Index Trader Index Month 2 6.05 9/2020
Stock Index Trader Index Month 2 6.05 9/2020
Systematic Trader Index Month 5 6.05 9/2020
Systematic Trader Index Month 7 32.12 3/2020
Stock Index Trader Index Month 1 32.12 3/2020

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

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