Kinkopf Capital Management : KCM S&P (Proprietary)

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.