Covenant Capital Mgmt Of Tennessee, LLC Long Volatility Program
Report Start Date: Jul-2021 | End Date: Jul-2025
Current Return:
-2.23%
YTD Return:
-1.83%
Annualized Return:
-4.52%
AUM: $ 1,271,101
Trading Strategy
Long Volatility / Long Spreads Butterflies / VIX
Program Description
The program is designed to be a robust and cash efficient method of hedging long market exposure by utilizing long positions in VIX futures during market crisis. This program is not, by any means, a perpetual hedge against the market; it is a dynamic actively traded long volatility strategy that is designed to capture profits during severe market declines. that is to say, this program should not be expected to hedge equity market declines of less than 10 to 15%. The managers believe that a perpetual hedge that protects against small losses is an inefficient and extremely costly method of protecting an equity portfolio. This program is designed to yield profits of substantial magnitude when volatility levels spike 200 to 500%. The program utilizes long spreads butterflies, and single contracts in VIX futures to accomplish its aims. The program features a unique incentive fee structure that is benchmarked to its own performance as well as that of the S&P index. A 1% management fee also applies.
Program Statistics
Peak-to-Valley Drawdown (2)
-20.1%
From Sep 2021 to Feb 2025
Worst Month (Nov 2024)
-5.52%
Current Losing Streak
-17.63%
Average Monthly Return
-0.37%
Monthly Std. Deviation
1.43%
Gain Deviation (16 months)
1.14%
Loss Deviation (33 months)
1.17%
Gain to Loss Ratio
0.88
Omega Ratio (5% Threshold)
0.18
Annualized Performance
Compound ROR (1)
-4.52%
Standard Deviation
4.97%
Downside Deviation
4.28%
Sharpe Ratio (3) 2% RF ROR
-0.99
Sortino Ratio (4) 5% MAR
-1.09
Calmar Ratio (5)
-0.3
Sterling Ratio (6)
-0.3
Gain Deviation
3.95%
Loss Deviation
4.05%
Profit Loss Ratio
0.42
Investment Information
Program Start Date
Jul-2021
Percent Systematic
100%
Currency Denomination - US Dollar
Minimum Investment
$250,000
Management Fee
1%
Incentive Fee
20.00%
Margin
10-25%
Round Turns per Million
800
NFA No:
#295798
Performance Since July 2021 | A Portion of this Performance is Based on Proprietary Trading
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
ROR
Max DD
2025
-2.01%
-2.99%
1.33%
4.28%
-0.68%
0.47%
-2.23%
–
–
–
–
–
-2.01%
-4.94%
2024
-0.08%
-0.08%
-0.77%
-0.08%
-1.27%
-0.37%
1.61%
-0.87%
2.53%
-0.42%
-5.52%
-0.29%
-5.68%
-6.20%
2023
-0.08%
-0.08%
-0.26%
-0.15%
0.24%
-0.48%
-0.08%
-0.15%
0.00%
-2.24%
-2.75%
0.12%
-5.82%
-5.93%
2022
-1.58%
-0.50%
0.03%
0.28%
-0.84%
0.95%
-0.08%
-0.76%
0.42%
-0.15%
-1.25%
0.15%
-3.30%
-3.45%
2021
–
–
–
–
–
–
0.25%
-0.13%
0.39%
-1.62%
0.49%
-1.02%
-1.65%
-2.15%
Monthly Return and $1,000 VAMI
Risk Disclaimer
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.
Covenant Capital Mgmt Of Tennessee, LLC Long Volatility Program
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.
Covenant Capital Mgmt Of Tennessee, LLC Long Volatility Program
An Important Note on the Start Date and End Date of this Report
If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.
Performance Results reported or amended subsequent to Thursday October 9, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.
Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.
Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Jul-2021 and Jul-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak
Benchmark Descriptions
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report was prepared from trader-provided information and is believed to be reliable.
It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.
Risk Disclaimer
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.
