Kinkopf Capital Management : KCM S&P (Proprietary)

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-17.09%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
31.27%
Sharpe (RFR=1%)
0.23
CAROR
3.36%
Assets
$ 88k
Worst DD
-76.21
S&P Correlation
0.17

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/1999
KCM S&P (Proprietary) -17.09 -35.20 - -30.40 -45.31 -64.70 -40.57 90.42
S&P 500 0.48 2.93 - 11.21 30.43 67.53 110.19 110.25
+/- S&P 500 -17.57 -38.13 - -41.61 -75.74 -132.23 -150.76 -19.83

Strategy Description

Summary

Kinkopf Capital Management’s S&P strategy can be classified as a long-short equity program which utilizes the S&P 500 e-mini futures contracts as its trading vehicle. Mr. Kinkopf designed his statistical trading system to dynamically manage risk by using various techniques combining... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2250 RT/YR/$M
Avg. Margin-to-Equity
22%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
37.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Kinkopf Capital Management’s S&P strategy can be classified as a long-short equity program which utilizes the S&P 500 e-mini futures contracts as its trading vehicle. Mr. Kinkopf designed his statistical trading system to dynamically manage risk by using various techniques combining volatility measures, reversal flow, price target stops and timing stops. He calls his approach “Dynamic Risk Management”. Kinkopf Capital Management, LLC core investment philosophy adheres to a strict process that follows a disciplined approach towards trading. Mr. Kinkopf believes that risk management and discipline are the keys for long term sustainability in the markets.

Investment Strategy

Mr. Kinkopf's trading system reduces market exposure by over fifty percent during an average year by limiting equity exposure to system tradable events only. In December of 2007, Ken Kinkopf introduced an additional and highly innovative layer of risk management by incorporating volatility scaling (VoS) into its trading program. The volatility scaling method further varies market exposure depending on system performance and market conditions. In April of 2014, Mr. Kinkopf again expanded its risk management process by incorporating multiple trade control parameters to its core system. The new component called Octagle, provides a multidimensional governance on trade parameters.

Risk Management

In July of 2015, Ken has integrated Octagle as a VoS component where trade selection is scaled rather then varying contract quantities. Mr. Kinkopf expects these component changes will further reduce volatility while allowing additional capture opportunities Additional Information on the history of the Managed Account program including Octagle can be found at: http://www.kinkopfcapital.com/Pages/Octagle.aspx The proprietary performance above is based on the Advisors trading account trading the S&P program. Pro-forma adjustments are made for 2% management fees, 20% incentive fees and $15 round turn (all in) commissions. The performance capsule rebalances yearly to $100,000. Returns may differ than actual client accounts due to compounded growth, leverage and net asset value differences. For example, the advisor will generally trade a (10) lot for a $200,000 account. An account valued at $180K would trade a (9) lot and may be trading the same lot size as an account valued at $199K and therefore the percentage change per account will differ. Note: The AUM in this database is of the actual value of the proprietary trading account and not the rebalanced value that the track record is based on which resets yearly to $100,000.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-76.21 70 - 8/1/2012 6/1/2018
-36.90 16 14 8/1/2007 12/1/2008
-33.74 2 7 3/1/1999 5/1/1999
-33.65 12 45 2/1/2002 2/1/2003
-19.10 6 18 4/1/2010 10/1/2010
-14.93 1 1 1/1/1999 2/1/1999
-14.48 2 2 12/1/2000 2/1/2001
-3.97 1 2 8/1/2001 9/1/2001
-3.47 1 1 11/1/2006 12/1/2006
-2.60 3 1 6/1/2000 9/1/2000
-0.17 1 1 2/1/2007 3/1/2007
-0.01 1 1 10/1/2000 11/1/2000
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Consecutive Gains

Run-up Length (Mos.) Start End
121.78 9 10/1/1999 6/1/2000
86.20 6 3/1/2001 8/1/2001
70.99 7 2/1/2012 8/1/2012
40.91 5 11/1/2017 3/1/2018
39.66 1 6/1/1999 6/1/1999
33.92 4 11/1/2016 2/1/2017
31.38 5 4/1/2007 8/1/2007
27.25 3 2/1/2010 4/1/2010
24.83 5 6/1/2009 10/1/2009
23.80 1 1/1/2015 1/1/2015
23.32 1 8/1/2002 8/1/2002
22.90 5 10/1/2001 2/1/2002
22.43 3 1/1/2016 3/1/2016
21.42 3 3/1/2003 5/1/2003
21.32 2 8/1/2013 9/1/2013
20.42 1 3/1/1999 3/1/1999
18.63 5 2/1/2004 6/1/2004
17.99 3 6/1/2015 8/1/2015
17.83 1 8/1/2011 8/1/2011
17.42 3 7/1/2017 9/1/2017
17.27 2 10/1/2005 11/1/2005
15.84 2 8/1/2006 9/1/2006
13.83 4 1/1/2009 4/1/2009
12.14 1 12/1/2013 12/1/2013
12.00 2 5/1/2016 6/1/2016
10.46 2 11/1/2010 12/1/2010
10.25 1 8/1/2004 8/1/2004
9.91 1 5/1/2005 5/1/2005
9.63 2 1/1/2007 2/1/2007
9.50 1 6/1/2014 6/1/2014
9.11 1 11/1/2002 11/1/2002
8.82 1 2/1/2014 2/1/2014
8.69 2 9/1/2008 10/1/2008
8.48 1 12/1/2009 12/1/2009
8.02 2 4/1/2011 5/1/2011
6.43 1 6/1/2013 6/1/2013
6.02 2 4/1/2008 5/1/2008
5.90 1 8/1/1999 8/1/1999
5.63 1 10/1/2003 10/1/2003
5.22 2 1/1/2006 2/1/2006
5.07 1 4/1/2014 4/1/2014
4.97 1 11/1/2006 11/1/2006
4.95 1 4/1/2006 4/1/2006
4.64 1 2/1/2005 2/1/2005
4.46 1 12/1/2000 12/1/2000
4.42 1 10/1/2004 10/1/2004
4.36 1 1/1/2013 1/1/2013
3.39 1 10/1/2000 10/1/2000
3.12 1 2/1/2008 2/1/2008
2.82 1 1/1/2003 1/1/2003
2.52 2 10/1/2015 11/1/2015
2.33 1 12/1/2004 12/1/2004
1.24 1 2/1/2011 2/1/2011
1.03 1 12/1/2011 12/1/2011
0.90 1 12/1/2007 12/1/2007
0.76 1 11/1/2014 11/1/2014
0.38 1 8/1/2000 8/1/2000
0.30 1 5/1/2002 5/1/2002
0.08 1 1/1/1999 1/1/1999
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Consecutive Losses

Run-up Length (Mos.) Start End
-54.50 3 4/1/2018 6/1/2018
-40.52 4 7/1/2014 10/1/2014
-36.86 4 3/1/2017 6/1/2017
-33.74 2 4/1/1999 5/1/1999
-31.00 3 9/1/2007 11/1/2007
-30.40 4 2/1/2013 5/1/2013
-24.01 1 9/1/2015 9/1/2015
-23.47 4 2/1/2015 5/1/2015
-21.45 2 6/1/2002 7/1/2002
-20.10 4 7/1/2016 10/1/2016
-19.76 4 6/1/2005 9/1/2005
-19.10 6 5/1/2010 10/1/2010
-19.00 1 12/1/2002 12/1/2002
-17.14 2 10/1/2013 11/1/2013
-16.40 1 9/1/1999 9/1/1999
-14.93 1 2/1/1999 2/1/1999
-14.48 2 1/1/2001 2/1/2001
-13.80 2 3/1/2005 4/1/2005
-12.00 3 9/1/2011 11/1/2011
-11.98 3 5/1/2006 7/1/2006
-10.52 1 12/1/2015 12/1/2015
-9.81 2 9/1/2002 10/1/2002
-9.71 1 2/1/2003 2/1/2003
-8.73 1 3/1/2011 3/1/2011
-8.60 1 12/1/2014 12/1/2014
-8.57 2 11/1/2008 12/1/2008
-8.27 2 6/1/2011 7/1/2011
-8.23 4 9/1/2012 12/1/2012
-7.71 2 3/1/2002 4/1/2002
-7.12 1 3/1/2008 3/1/2008
-6.74 4 6/1/2003 9/1/2003
-6.01 3 11/1/2003 1/1/2004
-5.99 3 6/1/2008 8/1/2008
-5.91 1 3/1/2014 3/1/2014
-5.81 1 11/1/2004 11/1/2004
-5.57 1 1/1/2014 1/1/2014
-5.26 1 5/1/2009 5/1/2009
-4.98 1 7/1/2013 7/1/2013
-4.46 1 1/1/2008 1/1/2008
-3.97 1 9/1/2001 9/1/2001
-3.94 1 7/1/1999 7/1/1999
-3.57 1 5/1/2014 5/1/2014
-3.55 1 1/1/2010 1/1/2010
-3.47 1 12/1/2006 12/1/2006
-2.26 1 9/1/2000 9/1/2000
-2.22 1 3/1/2006 3/1/2006
-1.93 1 7/1/2004 7/1/2004
-1.79 1 11/1/2009 11/1/2009
-1.58 1 10/1/2017 10/1/2017
-1.13 1 1/1/2005 1/1/2005
-0.73 1 7/1/2000 7/1/2000
-0.70 1 9/1/2004 9/1/2004
-0.62 1 1/1/2012 1/1/2012
-0.40 1 12/1/2005 12/1/2005
-0.37 1 1/1/2011 1/1/2011
-0.36 1 4/1/2016 4/1/2016
-0.36 1 10/1/2006 10/1/2006
-0.17 1 3/1/2007 3/1/2007
-0.01 1 11/1/2000 11/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods234.00232.00229.00223.00217.00211.00199.00187.00175.00
Percent Profitable53.4257.3359.3957.4056.6863.5171.8667.3874.86
Average Period Return0.692.435.4511.0716.2521.3928.5533.4943.74
Average Gain6.8312.4718.7431.4142.1346.1451.5363.9670.26
Average Loss-6.36-11.06-14.00-16.33-17.62-21.68-30.13-29.46-35.21
Best Period39.6642.0786.20145.98165.23256.71381.99319.49360.45
Worst Period-29.79-54.50-45.22-47.39-57.31-54.21-62.08-70.81-66.46
Standard Deviation9.0315.6221.8232.7541.1653.7867.2365.1473.70
Gain Standard Deviation6.0810.5217.1328.1336.0452.1765.2456.9866.06
Loss Standard Deviation6.3010.2610.2811.9313.6216.4620.1020.2816.31
Sharpe Ratio (1%)0.070.140.230.310.360.360.380.450.52
Average Gain / Average Loss1.071.131.341.922.392.131.712.172.00
Profit / Loss Ratio1.231.521.962.593.133.704.374.495.94
Downside Deviation (10%)6.2910.4412.3515.9518.8821.7826.8931.7633.03
Downside Deviation (5%)6.139.9511.3013.7115.4317.3920.5322.3321.77
Downside Deviation (0%)6.099.8311.0413.1714.6316.4019.1620.3719.42
Sortino Ratio (10%)0.040.120.240.380.460.510.480.380.49
Sortino Ratio (5%)0.100.220.440.730.961.111.241.321.77
Sortino Ratio (0%)0.110.250.490.841.111.301.491.642.25

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 14.72 8/2015
IASG CTA Index Month 3 14.72 8/2015
Systematic Trader Index Month 3 14.72 8/2015
Systematic Trader Index Month 3 23.80 1/2015
IASG CTA Index Month 4 23.80 1/2015
Stock Index Trader Index Month 1 23.80 1/2015
Stock Index Trader Index Month 1 9.50 6/2014
IASG CTA Index Month 5 9.50 6/2014
Systematic Trader Index Month 5 9.50 6/2014
Stock Index Trader Index Month 1 5.07 4/2014
Systematic Trader Index Month 9 5.07 4/2014
Stock Index Trader Index Month 2 8.82 2/2014
IASG CTA Index Month 4 12.14 12/2013
Systematic Trader Index Month 3 12.14 12/2013
Stock Index Trader Index Month 1 12.14 12/2013
Systematic Trader Index Month 2 10.12 9/2013
Stock Index Trader Index Month 1 10.12 9/2013
IASG CTA Index Month 5 10.12 9/2013
Stock Index Trader Index Month 1 10.17 8/2013
Systematic Trader Index Month 2 10.17 8/2013
IASG CTA Index Month 4 10.17 8/2013
IASG CTA Index Month 7 6.43 6/2013
Systematic Trader Index Month 7 6.43 6/2013
Stock Index Trader Index Month 2 6.43 6/2013
Stock Index Trader Index Month 2 4.36 1/2013
IASG CTA Index Year Rolling 5 55.94 2011 - 2012
Systematic Trader Index Month 4 16.61 7/2012
Stock Index Trader Index Month 1 16.61 7/2012
IASG CTA Index Month 10 16.61 7/2012
Stock Index Trader Index Month 1 18.80 6/2012
Systematic Trader Index Month 1 18.80 6/2012
IASG CTA Index Month 4 18.80 6/2012
Stock Index Trader Index Month 3 7.44 4/2012
Systematic Trader Index Month 6 7.44 4/2012
Systematic Trader Index Month 8 5.99 3/2012
Stock Index Trader Index Month 2 5.99 3/2012
Stock Index Trader Index Month 2 5.25 2/2012
Systematic Trader Index Month 3 17.83 8/2011
Stock Index Trader Index Month 2 17.83 8/2011
IASG CTA Index Month 3 17.83 8/2011
Systematic Trader Index Month 5 7.45 5/2011
Stock Index Trader Index Month 2 7.45 5/2011
IASG CTA Index Month 8 7.45 5/2011
Stock Index Trader Index Month 2 7.25 12/2010
Stock Index Trader Index Month 4 2.99 11/2010
Systematic Trader Index Month 10 2.99 11/2010
Stock Index Trader Index Month 4 4.33 3/2010
IASG CTA Index Month 3 21.48 2/2010
Systematic Trader Index Month 2 21.48 2/2010
Stock Index Trader Index Month 1 21.48 2/2010
Stock Index Trader Index Month 2 8.48 12/2009
Systematic Trader Index Month 5 8.48 12/2009
IASG CTA Index Month 7 8.48 12/2009
Systematic Trader Index Month 10 3.71 10/2009
Stock Index Trader Index Month 3 3.71 10/2009
Stock Index Trader Index Month 3 6.39 9/2009
Stock Index Trader Index Month 4 5.98 8/2009
Stock Index Trader Index Month 2 6.00 7/2009
Systematic Trader Index Month 9 6.00 7/2009
Stock Index Trader Index Month 6 6.11 4/2009
Stock Index Trader Index Month 9 0.51 3/2009
Stock Index Trader Index Month 5 4.23 1/2009
Stock Index Trader Index Month 2 4.20 10/2008
Stock Index Trader Index Month 2 4.31 9/2008
Stock Index Trader Index Month 7 3.37 5/2008
Stock Index Trader Index Month 8 2.56 4/2008
Stock Index Trader Index Month 9 3.12 2/2008
Stock Index Trader Index Month 4 -4.46 1/2008
Systematic Trader Index Month 5 9.10 8/2007
Stock Index Trader Index Month 2 9.10 8/2007
IASG CTA Index Month 7 9.10 8/2007
Stock Index Trader Index Month 3 2.41 7/2007
Stock Index Trader Index Month 1 9.06 6/2007
Systematic Trader Index Month 6 9.06 6/2007
IASG CTA Index Month 8 9.06 6/2007
Stock Index Trader Index Month 3 4.18 5/2007
Stock Index Trader Index Month 1 3.49 4/2007
Stock Index Trader Index Month 10 -0.17 3/2007
Stock Index Trader Index Month 2 3.71 2/2007
Stock Index Trader Index Month 1 5.71 1/2007
Stock Index Trader Index Month 2 4.97 11/2006
Stock Index Trader Index Month 1 6.27 9/2006
Systematic Trader Index Month 8 6.27 9/2006
IASG CTA Index Month 8 6.27 9/2006
Stock Index Trader Index Month 1 9.01 8/2006
Systematic Trader Index Month 3 9.01 8/2006
IASG CTA Index Month 3 9.01 8/2006
Stock Index Trader Index Month 2 4.95 4/2006
Stock Index Trader Index Month 8 0.49 2/2006
Stock Index Trader Index Month 1 4.71 1/2006
Stock Index Trader Index Month 10 -0.40 12/2005
Stock Index Trader Index Month 1 10.34 11/2005
Stock Index Trader Index Month 1 6.28 10/2005
Systematic Trader Index Month 3 6.28 10/2005
IASG CTA Index Month 4 6.28 10/2005
Stock Index Trader Index Month 10 -7.81 9/2005
Stock Index Trader Index Month 10 -3.47 8/2005
Stock Index Trader Index Month 10 -5.91 7/2005
Stock Index Trader Index Month 10 -4.17 6/2005
Stock Index Trader Index Month 1 9.91 5/2005

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.