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Covenant Capital Mgmt Of Tennessee, LLC - Total Volatility Program

Principal(s): Scot Billington and Brince Wilford
Strategy: Volatility / Stock Indices
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Statistics & Program Information

Mar Return   0.83% Worst Drawdown (2)    -17.64% Minimum Investment   $200,000
YTD Return   4.29% Losing Streak (3)    -1.77 % AUM (5)   $1,439,031
Annual CROR (1)   9.14 Sharpe Ratio (4)   0.47 Calmar Ratio (6)    0.03
Trading Methodology
100% Systematic
 Style Sub-Categories
Quantitative

 Trading Style
Market Sector
100% Stock Indices
 Holding Period
 Sector
US
Contracts
Futures
Start Date   Jan-2018 Currency   US Dollars Margin (7)   15-20%
New Money   Yes AUM (5)   $1,439,031 Management Fee    0.00%
Min Investment    $200,000 Annual CROR (1)   9.14 Incentive Fee    25.00%
Fund Minimum    $0 Losing Streak (3)    -1.77 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -17.64 % Avg Comm (8)   $10 RT All In
NFA Member    Yes Sharpe Ratio (4)    0.47 Max Comm (9)   $20 RT All Inc
NFA Number    295798 Calmar Ratio (6)    0.03 Round Turns (10)    650
Starting Date:  Jan-2018 Currency:  US Dollars
Open to New Investors:  Yes Current Assets:  $1,439,031
Open to US Investors:  Yes Annual CROR:  9.14%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -17.64
Minimum Managed Account:  $200,000 Current Losing Streak:  -1.77 %
Domocile:   Calmar:  0.03
Subscriptions:  N/A Sharpe Ratio:  0.47
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:  25.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  
Type of Fund:
 Domicile:
 Strategy:
Market Neutral
Correlations: AG CTA Index: 0.127              AG Systematic CTA Index: 0.163             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return.

2. 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. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied 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 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. The 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. The 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. The 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. The 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. 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 represents the minimum account size.

13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

18. 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 ("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 ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

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 seizes on these irregularities as well.

Risk Strategy
Background

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:

Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018.

Performance

Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 2.03% 1.37% 0.83%   4.29% 0%
2023 2.58% -0.20% 3.06% 3.64% 0.78% 0.00% 0.00% -2.81% -0.92% 4.14% -0.97% 1.77% 11.38% -3.71%
2022 0.92% -3.42% -0.07% -0.11% 10.32% 0.13% -0.39% 2.02% -9.26% 1.77% -8.84% 2.68% -5.6% -15.82%
2021 -11.75% 7.90% 6.98% -3.05% 3.65% 2.51% -4.41% -0.16% -3.18% 0.01% -7.21% 4.87% -5.65% -14.26%
2020 -3.91% 0.57% 32.08% -1.70% -1.50% -2.72% -2.13% -6.29% 5.98% -3.30% 9.46% -2.03% 21.19% -13.61%
2019 7.01% -0.75% 5.05% 0.63% -13.84% 5.98% 1.58% 3.16% 8.54% 5.25% 1.04% -3.18% 20.04% -13.84%


Annual Performance

Years201820192020202120222023
ROR14.74%20.04%21.19%-5.65%-5.60%11.38%
Max DD-8.10%-13.84%-13.61%-14.26%-15.82%-3.71%

Years2024 YTD
ROR4.29%
Max DD0.00%



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.

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