Covenant Capital Management, LLC

CCM Short Premium Program *QEP* *Pro Forma*


Monthly Performance (%)

Date Range: 06/20 - 12/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 1.33 2.25 4.04 0.96 0.34 1.22 -2.22 0.81 -0.71 2.15 0.38 -0.35  10.54 
2020 1.28 1.49 -0.03 2.78 -3.70 3.44  5.21 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The Short Premium Program (SPP) is designed as a cash efficient means to deliver risk adjusted and total returns superior to those of the S&P 500. This program takes advantage of one of the most persistent edges in trading, realized volatility (actual market moves) is less than implied volatility (the anticipated market moves based on the cost of options or insurance). Much like any insurance, those that reduce risk must pay for someone to take that risk. Unlike most short premium strategies, CCM limits the delta loss in a market crash to approximately 10% of the account’s value. In many cases the SPP can see significant gains in a 1-3% move lower in the S&P 500. By using short term options (<10 days), selling skew, and limiting downside risk, the SPP offers a risk efficient method to profit from selling portfolio insurance.

Performance Statistics

Date Range: 06/20 - 12/21
  Program S&P 500 Coquest 40 
Total Return 16.29% 60.38% 8.68% 
Annualized Return 10.59% 34.76% 5.40% 
Annualized Std. Deviation 6.35% 13.41% 5.27% 
Correlation -0.09 0.31 
Sharpe Ratio (rf=2.5%) 1.27 2.41 0.55 
Worst Month -3.70% -4.65% -2.48% 
Date of Worst Month 11/2020 09/2021 11/2021 
Worst Drawdown -3.70% -6.36% -2.89% 
Date of Worst Drawdown 10/20 - 11/20 8/20 - 10/20 7/20 - 10/20 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/20 - 12/21
Year or YTD Program S&P 500 Coquest 40 
2021 10.54 28.72 6.26 
2020 5.21 22.16 3.60 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/20 - 12/21
Date: 12/31/2021
Perf: $1,100.88 Date: 11/30/2021
Perf: $1,099.78 Date: 10/31/2021
Perf: $1,127.75 Date: 9/30/2021
Perf: $1,105.75 Date: 8/31/2021
Perf: $1,100.25 Date: 7/31/2021
Perf: $1,100.03 Date: 6/30/2021
Perf: $1,095.21 Date: 5/31/2021
Perf: $1,099.38 Date: 4/30/2021
Perf: $1,083.56 Date: 3/31/2021
Perf: $1,064.82 Date: 2/28/2021
Perf: $1,050.74 Date: 1/31/2021
Perf: $1,026.62 Date: 12/31/2020
Perf: $1,036.05 Date: 11/30/2020
Perf: $998.41 Date: 10/31/2020
Perf: $989.70 Date: 9/30/2020
Perf: $992.87 Date: 8/31/2020
Perf: $1,007.58 Date: 7/31/2020
Perf: $1,019.10 Date: 6/30/2020
Perf: $1,000.00 Date: 12/31/2021
Perf: $1,572.50 Date: 11/30/2021
Perf: $1,505.08 Date: 10/31/2021
Perf: $1,515.53 Date: 9/30/2021
Perf: $1,416.25 Date: 8/31/2021
Perf: $1,485.32 Date: 7/31/2021
Perf: $1,441.50 Date: 6/30/2021
Perf: $1,407.99 Date: 5/31/2021
Perf: $1,375.93 Date: 4/30/2021
Perf: $1,366.37 Date: 3/31/2021
Perf: $1,297.10 Date: 2/28/2021
Perf: $1,242.67 Date: 1/31/2021
Perf: $1,209.30 Date: 12/31/2020
Perf: $1,221.63 Date: 11/30/2020
Perf: $1,176.46 Date: 10/31/2020
Perf: $1,060.35 Date: 9/30/2020
Perf: $1,089.33 Date: 8/31/2020
Perf: $1,132.36 Date: 7/31/2020
Perf: $1,056.40 Date: 6/30/2020
Perf: $1,000.00 Date: 12/31/2021
Perf: $1,162.93 Date: 11/30/2021
Perf: $1,167.01 Date: 10/31/2021
Perf: $1,162.60 Date: 9/30/2021
Perf: $1,138.13 Date: 8/31/2021
Perf: $1,146.27 Date: 7/31/2021
Perf: $1,137.06 Date: 6/30/2021
Perf: $1,162.87 Date: 5/31/2021
Perf: $1,148.85 Date: 4/30/2021
Perf: $1,144.96 Date: 3/31/2021
Perf: $1,134.07 Date: 2/28/2021
Perf: $1,090.04 Date: 1/31/2021
Perf: $1,066.05 Date: 12/31/2020
Perf: $1,052.06 Date: 11/30/2020
Perf: $1,017.07 Date: 10/31/2020
Perf: $1,056.15 Date: 9/30/2020
Perf: $1,027.58 Date: 8/31/2020
Perf: $1,027.89 Date: 7/31/2020
Perf: $1,012.80 Date: 6/30/2020
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 06/20 - 12/21
Date: 12/31/2021
Return: -0.35 % Date: 11/30/2021
Return: 0.38 % Date: 10/31/2021
Return: 2.15 % Date: 9/30/2021
Return: -0.71 % Date: 8/31/2021
Return: 0.81 % Date: 7/31/2021
Return: -2.22 % Date: 6/30/2021
Return: 1.22 % Date: 5/31/2021
Return: 0.34 % Date: 4/30/2021
Return: 0.96 % Date: 3/31/2021
Return: 4.04 % Date: 2/28/2021
Return: 2.25 % Date: 1/31/2021
Return: 1.33 % Date: 12/31/2020
Return: 3.44 % Date: 11/30/2020
Return: -3.70 % Date: 10/31/2020
Return: 2.78 % Date: 9/30/2020
Return: -0.03 % Date: 8/31/2020
Return: 1.49 % Date: 7/31/2020
Return: 1.28 % Date: 6/30/2020
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/20 - 12/21
Return: -1.00 %
Count: 1 Return: -2.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: 2.00 %
Count: 2 Return: -4.00 %
Count: 1 Return: 3.00 %
Count: 2 Return: 1.00 %
Count: 6 Return: 0.00 %
Count: 5

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 06/20 - 12/21
Date: 12/31/2021
Drawdown: -0.35 % Date: 11/30/2021
Drawdown: 0.00 % Date: 10/31/2021
Drawdown: -0.02 % Date: 9/30/2021
Drawdown: -2.13 % Date: 8/31/2021
Drawdown: -1.43 % Date: 7/31/2021
Drawdown: -2.22 % Date: 6/30/2021
Drawdown: 0.00 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: 0.00 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: 0.00 % Date: 12/31/2020
Drawdown: -0.39 % Date: 11/30/2020
Drawdown: -3.70 % Date: 10/31/2020
Drawdown: 0.00 % Date: 9/30/2020
Drawdown: -0.03 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Covenant Capital Management, LLC
Address: 3100 West End Avenue, Ste. 1090
City: Nashville
State: TN
Zip: 37203
Country: USA

Key People

Name:  Scot Billington
Position:  Principal
Biography: 

Scot Billington is the Chief Manager, the Head Trader, and a 45.05% equity holder of CCM. Mr. Billington is registered with the CFTC as a principal and associated person of CCM. Mr. Billington developed the trading systems that will be used by CCM. He is actively involved in every aspect of CCM’s business and trading. Mr. Billington worked as an assistant trader from for Bradford & Co., Incorporated, a Futures Commission Merchant (FCM) and division of J. C. Bradford & Co July 1993 until May 1999 when he began forming CCM. 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 his main function was making markets in the OEX 100 Index options market. Mr. Billington was a member of the Chicago Board Options Exchange and a Market Maker at Ronin Capital in OEX 100 Index options until January 4, 2005. Mr. Billington has been a principal and associated person of the advisor since inception, and he became a branch office manager of the advisor on July 13, 2005.


Name:  Brince Wilford
Position:  Principal
Biography: 

Brince Wilford is the Secretary and is a 45.05% equity holder of CCM. He is registered with the CFTC as a principal and associated person of CCM. Mr. Wilford assists in the execution of trades as directed by Mr. Billington. He is actively involved in every aspect of CCM’s business and trading. Mr. Wilford has worked in a number of development, management, consulting and finance roles in the healthcare industry since 1990. From August of 1999 to July of 2002 he served as Director of Business Development for Inphact, Inc. His primary responsiblity was directing sales and national accounts. Inphact was a provider of radiology services over the Internet. Mr. Wilford worked for Healthcare Realty Trust, Inc. in the Investments Department from August of 2002 through January of 2006 where his primary responsibilities included business development, financial modeling, consulting and acquisitions work. Healthcare Realty Trust is a publicly traded Real Estate Investment Trust (NYSE:HR). Mr. Wilford resigned from Healthcare Realty in 2006 to focus full time on the advisory. He returned to part-time employment at Healthcare Realty in January of 2008 where he manages the Acquisitions Department. Presently, Mr. Wilford provides investment consulting services to various firms in the healthcare, real estate, and entertainment industries. Mr. Wilford has been registered as a principal and associated person of the advisor since July 30, 1999.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Investment Methodology
 Systematic Yes 
 Sector Specialist Yes 
 Quantitative Analysis Yes 
 Options Writing Yes 
 Instruments Traded
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $250,000 
 Margin / Equity Ratio: 20% 
 Managed Account Availability: Open 
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