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Covenant Capital Mgmt Of Tennessee, LLC - Short Premium Program

Principal(s): Brince Wilford and Scot Billington
Strategy: Option Selling / Volatility / S&P 500 Options
Request a Stat Report & Disclosure Document

Statistics & Program Information

Feb Return   -0.18% Worst Drawdown (2)    -10.89% Minimum Investment   $250,000
YTD Return   -0.96% Losing Streak (3)    -6.76 % AUM (5)   $1,220,000
Annual CROR:1 2.33% Sharpe Ratio (4)   0.26 Calmar Ratio (6)    -0.01
Trading Methodology
100% Systematic
Style Sub-Categories
Volatility
Trading Style
100% Option Trading
Market Sector
100% Stock Indices
Holding Period
100% Short Term
Geographic Sector:
US
Contracts:
Options

Start Date   Jul-2020 Currency   US Dollar Margin (7)   10-25%
New Money   No AUM (5)   $1,220,000 Management Fee    0.00%
Min Investment    $250,000 Annual CROR 1    2.33% Incentive Fee    20%
Fund Minimum    $0 Losing Streak (3)    -6.76 % Other Fees   None
Notional Funds    No Worst Drawdown (2)    -10.89 % Avg Comm (8)   
NFA Member    Yes Sharpe Ratio (4)    0.26 Max Comm (9)   
NFA Number    295798 Calmar Ratio (6)    -0.01 Round Turns (10)    0
Starting Date:  Jul-2020 Currency:  US Dollar
Open to New Investors:  No Current Assets:  $1,220,000
Open to US Investors:  Yes Annual CROR:  2.33%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -10.89
Minimum Managed Account:  $250,000 Current Losing Streak:  -6.76 %
Domocile:   Calmar:  -0.01
Subscriptions:  N/A Sharpe Ratio:  0.26
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  0.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Selling Fee:  0.00% FINRA Member:  No
Other Fees:  None Other Memberships:  None
Type of Fund:
Domicile:
Strategy:
Correlations: AG CTA Index: 0.085              AG Systematic CTA Index: 0.050             

Trading Description, Risk Strategy & Background

The Short Premium Program (SPP) is designed as a cash efficient means to deliver risk adjusted and total returns superior to those of the S&P 500.

The program takes advantage of one of the most persistent edges in trading, realized volatility (actual market moves) is less than implied volatility (the anticipated market moves based on the cost of options or insurance). Much like any insurance, those that reduce risk must pay for someone to take that risk.

Unlike most short premium strategies, CCM limits the delta loss in a market crash to approximately 10% of the account's value. In many cases the SPP can see significant gains in a 1-3% move lower in the S&P 500. By using short term options (<10 days), selling skew, and limiting downside risk, the SPP offers a risk efficient method to profit from selling portfolio insurance.

Covenant Capital Management, LLC (CCM) was founded in 1999 and is an alternative investment manager. CCM is registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor (CTA), and manages client assets using global futures markets as an investment vehicle.

Scot Billington started his career at J. C. Bradford & Co. where he was responsible for executing orders, providing investment advice, and developing trading systems. Mr. Billington later worked for Ronin Capital, a proprietary trading firm at the Chicago Board Options Exchange. At Ronin Capital Mr. Billingon's main function was acting as a market maker in the S&P 100 Index options market.

Brince Wilford’s prior work history includes serving as Senior VP of Investments for Healthcare Realty Trust, Inc., a publicly-traded real estate investment trust. Mr. Wilford's primary responsibilities included development, financial modeling, consulting, and asset acquisitions.

Accounting Notes:

The trading results shown reflect the performance of a proprietary account traded in the Short Premium Program from July 2020 through May 2021, results reflect all trading costs and a 20% incentive fee.

Pro-Forma results adjusted for a 20% incentive fee. (A Portion of this Performance is based on Proprietary Trading)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 -0.78% -0.18%   -0.96% -0.96%
2023 0.92% 0.88% -0.27% 0.62% 0.55% -1.01% 0.09% 1.47% 1.42% 0.70% -1.12% -0.80% 3.44% -1.91%
2022 -3.81% -1.02% 0.40% -0.21% -1.03% -0.64% -1.16% -1.67% -1.93% 1.65% 0.39% 0.09% -8.67% -10.58%
2021 1.33% 2.25% 4.04% 0.96% 0.34% 1.22% -2.22% 0.81% -0.71% 2.15% 0.38% -0.35% 10.54% -2.22%
2020  1.28% 1.49% -0.03% 2.78% -3.70% 3.44% 5.21% -3.7%

Annual Performance

Years20202021202220232024 YTD
ROR5.21%10.54%-8.67%3.44%-0.96%
Max DD-3.70%-2.22%-10.58%-1.91%-0.96%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

Footnotes & Definitions:

  • P - Proprietary Trading Results
  • C - Client Trading Results
  • Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
  1. Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or 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. Annual CROR is not applicable to CTAs that sum their monthly returns.
  2. Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
  3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
  4. Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
  5. Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
  6. Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
  7. Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
  8. Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
  9. Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
  10. Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
  11. Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
  12. Minimum Investment: Minimum Investment represents the minimum account size.
  13. Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
  14. Number of Winning Months: Number of Winning Months represents the months with positive return.
  15. Number of Losing Months: Number of Losing Months represents the months with negative return.
  16. Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
  17. Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
  18. Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
  19. Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
  20. Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS