Covenant Performance 201608
Original Program Composite Performance: August 2016 CCM’s investment strategy is rooted in strict adherence to a quantitative and mechanical trading program that is engineered to generate profits from the non-normal distribution of price movements in financial markets. We believe that freely traded market moves follow a non-normal distribution curve highlighted by large tails, narrow mid-ranges and a high peak. This phenomenon is measurable and has been thoroughly evidenced in academia. CCM does not try to predict when trends will emerge, how long they will last, or even how high or low they will go. The only prediction that CCM makes is that trends will continue to emerge as a function of the market place. CCM’s goal is to capture these large and unexpected price changes in the most efficient manner possible providing competitive risk adjusted returns over a five year investment horizon. As of August 1st, the program held open positions in twenty-four markets, of which twenty represented long exposure. During the month, the program exited short positions in Euro Currency as well as long positions in Copper as trailing-stops were reached. Later, the program entered new short positions in Swiss Franc and Japanese Govt Bond as well as long positions in Soybean Oil, Brent Crude, Gas Oil, Heating Oil, RBOB Gasoline and Hang Seng. At month-end, the program had exposure in thirty markets, of which twenty-five represented long exposure.
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $39M Sept 1999 -1.37% -1.63%
Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
10.35% -28.61% 11/00 - 1/02 0.36
In the Last 10 Years Compound Annual Return Worst Drawdown Worst Drawdown Period CAR/WDD
6.65% -20.87% 1/15 - 8/16 0.32
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
Year 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999
Jan (0.70) 0.21 (4.04) 4.85 0.18 (2.00) (3.25) 1.93 2.51 (4.02) 3.82 (2.49) 4.86 13.66 (4.93) (7.02) (1.69)
Feb (0.54) (1.71) 3.26 (4.66) 0.76 3.01 (0.98) 0.76 15.41 0.18 (4.28) 11.14 3.18 0.38 0.95 (0.41) (3.99)
Mar 0.05 (1.64) (1.49) 2.47 (2.28) 0.64 (0.60) (2.86) (4.39) (6.02) 0.52 0.57 4.68 (7.33) 8.37 11.16 (2.78)
Apr 0.76 (2.25) (0.94) 2.55 (2.22) 7.55 4.48 1.58 3.29 5.07 0.37 1.09 (5.99) 11.74 (5.32) (5.39) 0.00
May (0.71) (3.18) (0.33) 4.89 0.83 (7.11) 1.96 5.14 2.84 0.49 (5.15) 2.20 (4.37) 6.06 25.11 3.84 (2.69)
Jun 0.49 0.98 0.60 (5.00) (3.96) (2.33) 1.14 (2.56) 4.78 (0.35) (1.22) (1.36) 2.11 1.56 4.45 2.21 (4.53)
Jul 0.35 (7.95) (0.13) (1.65) 8.02 4.30 (2.94) 1.65 (4.59) 2.02 (2.03) 3.44 (4.08) (3.86) (4.38) (4.46) 3.80
Aug (1.37) (2.98) 2.61 0.57 0.53 3.05 4.97 6.65 (3.79) (6.07) 0.32 2.19 3.08 2.17 1.54 (3.60) 5.84
Sep
Oct
Nov
Dec
1.44 12.37 (3.83) 4.04 (1.59) 6.38 1.88 0.09 7.43 0.08 7.59 2.81 6.61 4.85 (6.92) 0.42 (1.72)
(2.81) 5.17 0.77 (5.49) (2.49) 5.21 (5.64) 3.01 4.76 1.84 (0.21) (0.69) 11.35 4.42 3.50 2.82 (4.46)
0.72 6.40 (0.25) 0.69 0.61 (0.89) 8.14 0.32 (0.67) 0.79 6.46 14.54 (2.29) 2.82 (9.67) 3.64 3.88
(1.77) 1.68 0.47 1.70 (0.16) 6.74 (1.31) (0.27) (0.90) 1.40 4.71 6.60 4.65 3.08 (6.04) (3.52) 4.37
YTD -1.63% -19.35% 27.02% 0.56% 2.12% 2.70% 23.77% 15.49% 19.20% 0.93% -3.83% 40.49% 28.16% 51.72% 44.98% -22.18% -3.31% 1.80%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Summary Sector Attribution
1.00% 0.50% 0.00% -0.50%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peak-tovalley decline in month-end asset value without such value being exceeded by a subsequent monthend. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-1.00% -1.50% -2.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Total
-1.37%
-0.53%
-0.09%
-0.54%
0.00%
-0.28%
-0.23%
0.15%
Meats 0.14%
Long
-1.23%
-0.28%
-0.08%
-0.54%
0.03%
-0.28%
-0.23%
0.15%
0.00%
Short
-0.14%
-0.25%
-0.01%
0.00%
-0.03%
0.00%
0.00%
0.00%
0.14%
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com | @CovenantCap
Aggressive Program Composite Performance: August 2016 CCM’s investment strategy is rooted in strict adherence to a quantitative and mechanical trading program that is engineered to generate profits from the non-normal distribution of price movements in financial markets. We believe that freely traded market moves follow a non-normal distribution curve highlighted by large tails, narrow mid-ranges and a high peak. This phenomenon is measurable and has been thoroughly evidenced in academia. CCM does not try to predict when trends will emerge, how long they will last, or even how high or low they will go. The only prediction that CCM makes is that trends will continue to emerge as a function of the market place. CCM’s goal is to capture these large and unexpected price changes in the most efficient manner possible providing competitive risk adjusted returns over a five year investment horizon. As of August 1st, the program held open positions in twenty-four markets, of which twenty represented long exposure. During the month, the program exited short positions in Euro Currency as well as long positions in Copper as trailing-stops were reached. Later, the program entered new short positions in Swiss Franc and Japanese Govt Bond as well as long positions in Soybean Oil, Brent Crude, Gas Oil, Heating Oil, RBOB Gasoline and Hang Seng. At month-end, the program had exposure in thirty markets, of which twenty-five represented long exposure.
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $22M Jan 2004 -1.75% -2.00%
Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
14.30% -25.21% 1/15 - 8/16 0.57
In the Last 10 Years Compound Annual Return Worst Drawdown Worst Drawdown Period CAR/WDD
8.52% -25.21% 1/15 - 8/16 0.34
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
Year 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Jan (0.94) 0.78 (5.78) 6.87 (1.42) (2.05) (5.88) 3.27 5.26 (4.70) 8.49 (2.77) 0.00
Feb (0.51) (1.99) 4.07 (7.57) 2.74 2.40 0.09 1.40 21.53 0.81 (6.77) 17.12 1.28
Mar (0.19) (2.29) (2.27) 2.59 (2.82) (0.89) (1.66) (5.13) (5.01) (9.69) 0.57 2.19 6.97
Apr 1.27 (2.84) (1.34) 2.20 (4.02) 5.51 5.42 2.82 3.92 8.50 0.04 2.85 (5.57)
May (1.13) (3.93) (0.37) 4.82 2.36 (4.87) (0.45) 9.06 3.83 0.60 (8.71) 6.19 (3.60)
Jun 0.74 1.00 0.74 (7.53) (5.89) (2.53) 0.44 (3.96) 6.38 0.45 (0.92) 0.97 3.32
Jul 0.56 (9.66) (0.33) (2.20) 11.94 2.20 (0.34) 1.89 (7.46) 3.66 (1.94) 3.84 (5.25)
Aug (1.75) (3.38) 3.44 0.51 1.99 2.08 1.76 10.02 (5.42) (9.69) 0.40 3.72 4.46
Sep
Oct
Nov
Dec
1.55 15.55 (4.27) 6.19 (0.54) 10.54 3.40 0.80 12.42 0.65 9.36 4.13
(3.32) 4.77 1.28 (7.15) (4.49) 6.82 (6.92) 3.40 6.15 3.36 (0.78) (1.51)
0.64 6.83 0.36 0.97 1.14 (0.61) 12.29 0.49 (0.03) 1.36 14.15 23.11
(2.00) 2.28 0.46 2.79 0.88 7.08 (2.21) (0.24) (2.02) 4.15 10.12 10.34
YTD -2.00% -23.09% 29.42% -3.53% 6.32% -1.65% 24.44% 26.76% 27.58% 4.10% -0.47% 88.55% 40.46%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Summary Sector Attribution
1.00% 0.50% 0.00% -0.50%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peakto-valley decline in month-end asset value without such value being exceeded by a subsequent monthend. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-1.00% -1.50% -2.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Meats
-1.75%
-0.68%
-0.11%
-0.69%
0.00%
-0.35%
-0.29%
0.19%
0.18%
Long
-1.57%
-0.36%
-0.10%
-0.69%
0.03%
-0.35%
-0.29%
0.19%
0.00%
Short
-0.18%
-0.31%
-0.01%
0.00%
-0.03%
0.00%
0.00%
0.00%
0.18%
Total
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com | @CovenantCap
Optimal Program Composite Performance: August 2016 CCM’s investment strategy is rooted in strict adherence to a quantitative and mechanical trading program that is engineered to generate profits from the non-normal distribution of price movements in financial markets. We believe that freely traded market moves follow a non-normal distribution curve highlighted by large tails, narrow mid-ranges and a high peak. This phenomenon is measurable and has been thoroughly evidenced in academia. CCM does not try to predict when trends will emerge, how long they will last, or even how high or low they will go. The only prediction that CCM makes is that trends will continue to emerge as a function of the market place. CCM’s goal is to capture these large and unexpected price changes in the most efficient manner possible providing competitive risk adjusted returns over a five year investment horizon. As of August 1st, the program held open positions in twenty-four markets, of which twenty represented long exposure. During the month, the program exited short positions in Euro Currency as well as long positions in Copper as trailing-stops were reached. Later, the program entered new short positions in Swiss Franc and Japanese Govt Bond as well as long positions in Soybean Oil, Brent Crude, Gas Oil, Heating Oil, RBOB Gasoline and Hang Seng. At month-end, the program had exposure in thirty markets, of which twenty-five represented long exposure.
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $1.9M May 2008 -35.66% -50.43%
Year
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
9.83
33.64
(32.93)
7.49
22.73
(35.66)
(4.71)
(7.86)
(9.46) (18.94)
6.86
(50.14) (33.64) 15.62
29.82
(10.82) (6.23)
2016 (20.51) (25.37) 2015
4.40
2014
(6.69)
1.79
0.33
19.20
Sep
Oct
Nov
Dec
YTD -50.43%
(36.47) 15.27
79.67
8.36
25.12
(36.68) -87.25% 8.74
226.65%
CCM did not use the Optimal Program to trade client accounts from January 2009 to January 2014
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
-36.40% -93.95% 1/15 - 8/16 -0.39
Summary Sector Attribution 10.00% 5.00% 0.00%
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
-5.00% -10.00% -15.00% -20.00% -25.00%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peakto-valley decline in month-end asset value without such value being exceeded by a subsequent month-end. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-30.00% -35.00% -40.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Meats
Total
-35.66%
-13.77%
-2.25%
-14.15%
0.06%
-7.20%
-6.00%
3.93%
3.72%
Long
-32.07%
-7.38%
-1.98%
-14.15%
0.71%
-7.20%
-6.00%
3.93%
0.00%
Short
-3.59%
-6.39%
-0.26%
0.00%
-0.65%
0.00%
0.00%
0.00%
3.72%
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $39M Sept 1999 -1.37% -1.63%
Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
10.35% -28.61% 11/00 - 1/02 0.36
In the Last 10 Years Compound Annual Return Worst Drawdown Worst Drawdown Period CAR/WDD
6.65% -20.87% 1/15 - 8/16 0.32
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
Year 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999
Jan (0.70) 0.21 (4.04) 4.85 0.18 (2.00) (3.25) 1.93 2.51 (4.02) 3.82 (2.49) 4.86 13.66 (4.93) (7.02) (1.69)
Feb (0.54) (1.71) 3.26 (4.66) 0.76 3.01 (0.98) 0.76 15.41 0.18 (4.28) 11.14 3.18 0.38 0.95 (0.41) (3.99)
Mar 0.05 (1.64) (1.49) 2.47 (2.28) 0.64 (0.60) (2.86) (4.39) (6.02) 0.52 0.57 4.68 (7.33) 8.37 11.16 (2.78)
Apr 0.76 (2.25) (0.94) 2.55 (2.22) 7.55 4.48 1.58 3.29 5.07 0.37 1.09 (5.99) 11.74 (5.32) (5.39) 0.00
May (0.71) (3.18) (0.33) 4.89 0.83 (7.11) 1.96 5.14 2.84 0.49 (5.15) 2.20 (4.37) 6.06 25.11 3.84 (2.69)
Jun 0.49 0.98 0.60 (5.00) (3.96) (2.33) 1.14 (2.56) 4.78 (0.35) (1.22) (1.36) 2.11 1.56 4.45 2.21 (4.53)
Jul 0.35 (7.95) (0.13) (1.65) 8.02 4.30 (2.94) 1.65 (4.59) 2.02 (2.03) 3.44 (4.08) (3.86) (4.38) (4.46) 3.80
Aug (1.37) (2.98) 2.61 0.57 0.53 3.05 4.97 6.65 (3.79) (6.07) 0.32 2.19 3.08 2.17 1.54 (3.60) 5.84
Sep
Oct
Nov
Dec
1.44 12.37 (3.83) 4.04 (1.59) 6.38 1.88 0.09 7.43 0.08 7.59 2.81 6.61 4.85 (6.92) 0.42 (1.72)
(2.81) 5.17 0.77 (5.49) (2.49) 5.21 (5.64) 3.01 4.76 1.84 (0.21) (0.69) 11.35 4.42 3.50 2.82 (4.46)
0.72 6.40 (0.25) 0.69 0.61 (0.89) 8.14 0.32 (0.67) 0.79 6.46 14.54 (2.29) 2.82 (9.67) 3.64 3.88
(1.77) 1.68 0.47 1.70 (0.16) 6.74 (1.31) (0.27) (0.90) 1.40 4.71 6.60 4.65 3.08 (6.04) (3.52) 4.37
YTD -1.63% -19.35% 27.02% 0.56% 2.12% 2.70% 23.77% 15.49% 19.20% 0.93% -3.83% 40.49% 28.16% 51.72% 44.98% -22.18% -3.31% 1.80%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Summary Sector Attribution
1.00% 0.50% 0.00% -0.50%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peak-tovalley decline in month-end asset value without such value being exceeded by a subsequent monthend. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-1.00% -1.50% -2.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Total
-1.37%
-0.53%
-0.09%
-0.54%
0.00%
-0.28%
-0.23%
0.15%
Meats 0.14%
Long
-1.23%
-0.28%
-0.08%
-0.54%
0.03%
-0.28%
-0.23%
0.15%
0.00%
Short
-0.14%
-0.25%
-0.01%
0.00%
-0.03%
0.00%
0.00%
0.00%
0.14%
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com | @CovenantCap
Aggressive Program Composite Performance: August 2016 CCM’s investment strategy is rooted in strict adherence to a quantitative and mechanical trading program that is engineered to generate profits from the non-normal distribution of price movements in financial markets. We believe that freely traded market moves follow a non-normal distribution curve highlighted by large tails, narrow mid-ranges and a high peak. This phenomenon is measurable and has been thoroughly evidenced in academia. CCM does not try to predict when trends will emerge, how long they will last, or even how high or low they will go. The only prediction that CCM makes is that trends will continue to emerge as a function of the market place. CCM’s goal is to capture these large and unexpected price changes in the most efficient manner possible providing competitive risk adjusted returns over a five year investment horizon. As of August 1st, the program held open positions in twenty-four markets, of which twenty represented long exposure. During the month, the program exited short positions in Euro Currency as well as long positions in Copper as trailing-stops were reached. Later, the program entered new short positions in Swiss Franc and Japanese Govt Bond as well as long positions in Soybean Oil, Brent Crude, Gas Oil, Heating Oil, RBOB Gasoline and Hang Seng. At month-end, the program had exposure in thirty markets, of which twenty-five represented long exposure.
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $22M Jan 2004 -1.75% -2.00%
Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
14.30% -25.21% 1/15 - 8/16 0.57
In the Last 10 Years Compound Annual Return Worst Drawdown Worst Drawdown Period CAR/WDD
8.52% -25.21% 1/15 - 8/16 0.34
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
Year 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
Jan (0.94) 0.78 (5.78) 6.87 (1.42) (2.05) (5.88) 3.27 5.26 (4.70) 8.49 (2.77) 0.00
Feb (0.51) (1.99) 4.07 (7.57) 2.74 2.40 0.09 1.40 21.53 0.81 (6.77) 17.12 1.28
Mar (0.19) (2.29) (2.27) 2.59 (2.82) (0.89) (1.66) (5.13) (5.01) (9.69) 0.57 2.19 6.97
Apr 1.27 (2.84) (1.34) 2.20 (4.02) 5.51 5.42 2.82 3.92 8.50 0.04 2.85 (5.57)
May (1.13) (3.93) (0.37) 4.82 2.36 (4.87) (0.45) 9.06 3.83 0.60 (8.71) 6.19 (3.60)
Jun 0.74 1.00 0.74 (7.53) (5.89) (2.53) 0.44 (3.96) 6.38 0.45 (0.92) 0.97 3.32
Jul 0.56 (9.66) (0.33) (2.20) 11.94 2.20 (0.34) 1.89 (7.46) 3.66 (1.94) 3.84 (5.25)
Aug (1.75) (3.38) 3.44 0.51 1.99 2.08 1.76 10.02 (5.42) (9.69) 0.40 3.72 4.46
Sep
Oct
Nov
Dec
1.55 15.55 (4.27) 6.19 (0.54) 10.54 3.40 0.80 12.42 0.65 9.36 4.13
(3.32) 4.77 1.28 (7.15) (4.49) 6.82 (6.92) 3.40 6.15 3.36 (0.78) (1.51)
0.64 6.83 0.36 0.97 1.14 (0.61) 12.29 0.49 (0.03) 1.36 14.15 23.11
(2.00) 2.28 0.46 2.79 0.88 7.08 (2.21) (0.24) (2.02) 4.15 10.12 10.34
YTD -2.00% -23.09% 29.42% -3.53% 6.32% -1.65% 24.44% 26.76% 27.58% 4.10% -0.47% 88.55% 40.46%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Summary Sector Attribution
1.00% 0.50% 0.00% -0.50%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peakto-valley decline in month-end asset value without such value being exceeded by a subsequent monthend. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-1.00% -1.50% -2.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Meats
-1.75%
-0.68%
-0.11%
-0.69%
0.00%
-0.35%
-0.29%
0.19%
0.18%
Long
-1.57%
-0.36%
-0.10%
-0.69%
0.03%
-0.35%
-0.29%
0.19%
0.00%
Short
-0.18%
-0.31%
-0.01%
0.00%
-0.03%
0.00%
0.00%
0.00%
0.18%
Total
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com | @CovenantCap
Optimal Program Composite Performance: August 2016 CCM’s investment strategy is rooted in strict adherence to a quantitative and mechanical trading program that is engineered to generate profits from the non-normal distribution of price movements in financial markets. We believe that freely traded market moves follow a non-normal distribution curve highlighted by large tails, narrow mid-ranges and a high peak. This phenomenon is measurable and has been thoroughly evidenced in academia. CCM does not try to predict when trends will emerge, how long they will last, or even how high or low they will go. The only prediction that CCM makes is that trends will continue to emerge as a function of the market place. CCM’s goal is to capture these large and unexpected price changes in the most efficient manner possible providing competitive risk adjusted returns over a five year investment horizon. As of August 1st, the program held open positions in twenty-four markets, of which twenty represented long exposure. During the month, the program exited short positions in Euro Currency as well as long positions in Copper as trailing-stops were reached. Later, the program entered new short positions in Swiss Franc and Japanese Govt Bond as well as long positions in Soybean Oil, Brent Crude, Gas Oil, Heating Oil, RBOB Gasoline and Hang Seng. At month-end, the program had exposure in thirty markets, of which twenty-five represented long exposure.
CTA AUM Program AUM Program Inception Monthly Performance Year to Date Performance
$213M $1.9M May 2008 -35.66% -50.43%
Year
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
9.83
33.64
(32.93)
7.49
22.73
(35.66)
(4.71)
(7.86)
(9.46) (18.94)
6.86
(50.14) (33.64) 15.62
29.82
(10.82) (6.23)
2016 (20.51) (25.37) 2015
4.40
2014
(6.69)
1.79
0.33
19.20
Sep
Oct
Nov
Dec
YTD -50.43%
(36.47) 15.27
79.67
8.36
25.12
(36.68) -87.25% 8.74
226.65%
CCM did not use the Optimal Program to trade client accounts from January 2009 to January 2014
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS Since Inception Compound Annual Return¹ Worst Drawdown² Worst Drawdown Period CAR/WDD³
-36.40% -93.95% 1/15 - 8/16 -0.39
Summary Sector Attribution 10.00% 5.00% 0.00%
¹ Compound Annual Return (CAR) represents the rate of return which, if compounded over each of the years covered by the performance history, would yield the cumulative gain or loss actually achieved by the trading program during the period. It is calculated as:
-5.00% -10.00% -15.00% -20.00% -25.00%
² Worst Drawdown (WDD) and Worst Drawdown Period reference the largest peakto-valley decline in month-end asset value without such value being exceeded by a subsequent month-end. ³ CAR/WDD represents the ratio of the Compound Annual Return for the period to the Worst Drawdown for that same period
-30.00% -35.00% -40.00%
Combined
Currencies
Grains
Energies
Financials
Softs
Metals
Indices
Meats
Total
-35.66%
-13.77%
-2.25%
-14.15%
0.06%
-7.20%
-6.00%
3.93%
3.72%
Long
-32.07%
-7.38%
-1.98%
-14.15%
0.71%
-7.20%
-6.00%
3.93%
0.00%
Short
-3.59%
-6.39%
-0.26%
0.00%
-0.65%
0.00%
0.00%
0.00%
3.72%
THE INFORMATION PRESENTED HERE IS INTENDED SOLELY FOR QUALIFIED ELIGIBLE PARTICIPANTS AS DEFINED BY THE NATIONAL FUTURES ASSOCIATION AND CFTC REGULATION 4.7. THIS DOCUMENT CANNOT DISCLOSE ALL OF THE RISKS INVOLVED IN THE REFERENCED PROGRAM OR PROGRAMS. FUTURES AND OPTIONS TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IT IS NOT SUITABLE FOR EVERYONE. READ AND EXAMINE THE DISCLOSURE DOCUMENT AND/OR INVESTMENT MEMORANDUM BEFORE SEEKING COVENANT CAPITAL MANAGEMENT INVESTMENT SERVICES. THEY ARE AVAILABLE THROUGH THE OFFICES OF COVENANT CAPITAL MANAGEMENT. THIS DOCUMENT MAY NOT BE REPRODUCED WITHOUT PRIOR WRITTEN CONSENT OF COVENANT CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3100 W E S T E N D A V E N U E | S U I T E 1090 | N A S H V I L L E , T N U S A 37203 | 615.678.6742 | www.covenantcap.com
