Kinkopf Capital Management : KCM S&P (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/1999 KCM S&P (Proprietary) -17.09 - - - -53.92 -43.69 -61.70 90.42 S&P 500 0.48 - - - 30.43 67.53 110.19 204.32 +/- S&P 500 -17.57 - - - -84.35 -111.22 -171.89 -113.90 Strategy Description SummaryKinkopf 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% Composition Stock Indices 100.00% SummaryKinkopf 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 StrategyMr. 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 ManagementIn 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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 Annual 5 55.94 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. x {{title}} x {{title}} Add Cancel