Autumn Gold Retail Report
Report Start Date: Jul-2021 - Report End Date: Oct-2025
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Covenant Capital Mgmt Of Tennessee, LLC - Long Volatility Program
Trading Strategy: Long Volatility / Long Spreads Butterflies / VIX
| 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% | -4.40% | -1.35% | -0.07% | – | – | -7.64% | -8.05% |
| 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% |
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) | -22.37% |
| From Sep 2021 to Oct 2025 | |
| Worst Month (Nov 2024) | -5.52% |
| Current Losing Streak | -22.37% |
| Average Monthly Return | -0.46% |
| Annualized Performance |
|
| Compound ROR (1) | -5.56% |
| Standard Deviation | 5.22% |
| Sharpe Ratio | -1.15 |
| Sterling Ratio | -0.35 |
| Calmar Ratio (3) | -0.36 |
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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
