Covenant Capital Management – Optimal Program

Optimal Program

Methodology: Systematic

Strategy: Trend / Momentum
Sub-Strategy: Long Term
Market Focus: Diversified


Strategy Description

The Covenant Optimal Program employs a systematic long-term trend-following strategy. The program seeks to identify and participate in long-term trends, by entering trades following significant price momentum. The strategy trades a broad and diverse group of markets, with roughly 50% of long-term risk budgeted to financial markets and 50% budgeted to commodity markets. The program is highly volatile, and is designed for investors who wish to obtain significant risk exposure to trend-following with minimal capital requirements and/or lower management fees on a exposure adjusted basis.

Risk Management

Risk is managed via a combination of volatility filters and stop loss limits. Volatility filters are utilized to help the program avoid trades in markets where current volatility exceeds historic norms, while stop loss limits are employed to take the program out of losing trades. Individual positions are allocated a maximum of 3.33% risk-to-stop, and the aggregate risk-to-stop of all underlying positions is limited to 99.99%.

General Information

Management Fee: 2.00%                          Typical Trade Duration: 3-9 Months
Performance Fee: 20.00%                        Round Turns per Million: 2,000-3,000
Manager Assets: $4,900,000                   Typical Margin‐to‐Equity: 85%
Strategy Assets: $2,000,000                    Managed Account Minimum: $500,000

Performance Statistics

Date Range: 02/04 – 09/18                       Maximum Drawdown: -95.11%
Annualized ROR: -30.23%                         Sharpe Ratio (0% RFR): 0.00
Standard Deviation: 81.77%                     Correlation to S&P 500: 0.22

This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.



Coquest Strategy Summary · Covenant Capital Management
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.