Managed Futures Database, Resource & Tools

Program Details

PDFPermalink

Covenant Capital Management 

Aggressive Program

Manager: Scott Billington

Address: 4122 Elder Place, Nashville, TN, 37215, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Feb 9, 2004
AUM:$96,000,000
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:438.74%108.88%
Annual ROR:19.40%8.06%
YTD:0.00%5.53%
1 Year:0.00%14.71%
Alpha:1.52
Beta:0.26
Statistics Program S&P 500
Average Monthly Gain:5.36%2.94%
Average Monthly Loss:-3.73%-3.68%
Winning Months:5771
Losing Months:3243
Current DD:6.960.00
Max DD:20.4152.56
Sharpe Ratio (RF 1%):0.85
Annualized Std Dev:21.58

Methodology

Discretionary:0%
Systematic:100%

Strategy

DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Trend Following:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2013-2.17438.74
20120.00
2011-2.052.40-0.895.51-4.90-81.89
2010-5.880.09-1.665.42-0.450.44-0.341.7610.546.82-0.617.0824.45
20093.271.40-5.132.829.06-3.961.8910.023.40-6.9212.29-2.2126.75
20085.2621.53-5.013.923.836.38-7.46-5.420.803.400.49-0.2427.55
2007-4.700.81-9.698.500.600.453.66-9.6912.426.15-0.03-2.024.09
20068.49-6.770.570.04-8.71-0.92-1.940.400.653.361.364.15-0.48
2005-2.7717.122.192.856.190.973.843.729.36-0.7814.1510.1288.52
20041.286.97-5.57-3.603.32-5.254.464.13-1.5123.1110.3440.50

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

CCM takes positions based on a long-term, technical, trend following system created by Scot Billington and Brince Wilford. Discretion is used only in extremely rare cases to interpret the existing rules of the system. Technical analysis uses the theory that a study of the markets themselves will provide a means of anticipating price changes. The system attempts to participate in long-term market trends. It does not try to predict trends. The system does not try to predict when a trend will start, how long it will last, or how high or low it will move. After a trend has occurred, CCM does not seek to explain why a trend may have occurred or why it behaved as it did. The only prediction made is that trends will continue to exist as a phenomenon of the market place. The system identifies when a trend may be beginning and enters the market at that point. The system is set up to minimize commissions and the number of trades per market when compared to other futures trading systems. Stop losses will be placed in the market as soon as entries are made, and they will be modified weekly. The system does not allow more than one round turn trade a week in a given market. Initial risk will be limited to a fixed percentage of the core equity (core equity is the total equity in the account less the total amount at risk in other open positions) of the account. As profits accumulate in a position, a greater percentage of risk will be tolerated; however, CCM may decrease the position size to reduce risk. Exits are executed on trailing stops. Position size may be dramatically reduced to lower risk, but a position will not be exited until the market hits the predetermined trailing stop level. CCM may use multiple triggers to enter and exit a position incrementally and at different times. CCM trades a diverse portfolio of markets and market sectors including but not limited to, metals, meats, grains, energies, softs, foreign currencies, domestic and foreign interest rates, and domestic and foreign stock indices. By broadly diversifying across a wide array of markets, CCM attempts to diminish the importance of any one position in the portfolio. The individual positions are designed to be relatively small and the stops are designed to be relatively wide to avoid multiple entries and exits that increase the commission burden on an account. Larger initial risks per contract minimize the effects of large gap moves through the stop levels as a percentage of the original risk.
This program will take the exact same trading signals as the Original Program; however, it will take roughly 1.75 times the position size than the same account would take in the Original Program.

Company Info

Founded in 1999, Covenant Capital Management, LLC ("CCM") is an alternative asset manager managing over $190 million across its programs as of November 30, 2009. Specifically, 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. CCM currently trades in over 30 different markets including equity indexes, fixed income, foreign exchange, agricultural, metals, soft commodities, and energy.
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 move-ments in financial markets. 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.
CCM offers two primary programs, the Original Program and the Aggressive Program. The Ag-gressive Program is a more leveraged version of the Original Program.

Manager Info

Scot Billington, a 45.05% equity holder of CCM, is registered with the CFTC as a principal and associated person of CCM. Mr. Billington developed many of the trading systems that are used by CCM and is actively involved in every aspect of CCM's business and trading. Prior to creating CCM in 1999, Mr. Billington worked as an assistant trader for a division of J. C. Bradford & Co, from July 1993 until May 1999. At J.C. Bradford he was responsible for executing client orders, advising clients, and developing systems. Beginning in April of 2002, Mr. Billington worked for Ronin Capital, an Option Trading Investment Company at the Chicago Board Options Exchange where he traded options on the S&P 100 index until the end of 2004. Mr. Billington has been a principal and associated person of the advisor since inception on July 30, 1999 and he became a branch office manager of the advisor on July 13, 2005. Mr. Billington graduated from Miami University in Oxford, Ohio and is currently on the board of advisors for their Entrepreneurship Department.