Kinkopf Capital Management : KCM S&P SELECT (Managed Client Accounts)

Year-to-Date: 8.32%
May Performance: -7.56%

Min Investment: $ 25k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 17.99%
Sharpe (RFR=1%): -0.33
CAROR: -6.34%

Assets: $ 107k
Worst DD: -21.61
S&P Correlation: 0.26

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Growth of 1,000 - VAMI

Monthly Performance

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	May	Qtr	YTD	1yr	3yr	5yr	10yr	Since 2/2016
KCM S&P SELECT (Managed Client Accounts)	-7.56	-8.01	-8.32	-4.64	-13.84	-	-	-19.62
S&P 500	-6.58	-1.17	9.77	1.72	29.91	-	-	42.88
+/- S&P 500	-0.98	-6.84	-18.10	-6.36	-43.74	-	-	-62.49

Strategy Description

Summary

The S&P SELECT Managed Account Program can best be categorized as a systematic, non-discretionary, trend following, swing program. Unlike its flagship S&P program that uses key market internals, price will be the primary deterministic component to initiate trades. A trend following... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 25k
Trading Level Incremental Increase: $ 25k
CTA Max Funding Factor: 2.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $15.00
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: 750 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD: -18.00%
Worst Peak-to-Trough
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%

Summary

Investment Strategy

The “S&P SELECT” managed account program started proprietary trading on 7/1/2015 and is now open to investment via its Disclosure Document . Unlike its flagship S&P program, S&P SELECT has a minimum investment of only $25,000. The S&P Select Program follows the same trading Methodology with the following key differences. The core system is now governed by the Octagle component for trade placement using only the highest ranked trade parameters to initiate trades. Rather than using key market internals, price will be the primary deterministic component. Trades may occur less often but for longer durations. A short term trend component is introduced to allow for short term trend capture where possible. Volatility is expected to be considerably lower due to the nature of trade selection process. The volatility scaling component will be performed by trade selection rather than contract quantities.

Risk Management

Mr. Kinkopf 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. 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.

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Index: Chart Type:

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

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Index:

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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
-21.61	6	-	11/1/2018	5/1/2019
-16.74	29	1	1/1/0001	6/1/2018
-0.51	3	1	7/1/2018	10/1/2018

Consecutive Gains

Run-up	Length (Mos.)	Start	End
20.14	1	7/1/2018	7/1/2018
10.80	2	8/1/2017	9/1/2017
6.76	1	6/1/2016	6/1/2016
3.82	1	4/1/2016	4/1/2016
3.04	1	11/1/2018	11/1/2018
2.67	1	3/1/2017	3/1/2017
0.70	1	9/1/2016	9/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-21.61	6	12/1/2018	5/1/2019
-14.29	9	10/1/2017	6/1/2018
-9.70	2	2/1/2016	3/1/2016
-7.12	5	10/1/2016	2/1/2017
-6.17	4	4/1/2017	7/1/2017
-2.32	2	7/1/2016	8/1/2016
-0.51	3	8/1/2018	10/1/2018
-0.49	1	5/1/2016	5/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	40.00	38.00	35.00	29.00	23.00	17.00
Percent Profitable	20.00	36.84	45.71	41.38	34.78	41.18
Average Period Return	-0.42	-0.65	-1.37	-1.53	-0.95	-2.08
Average Gain	5.96	7.07	6.45	5.36	8.31	3.97
Average Loss	-2.01	-5.15	-7.95	-6.40	-5.89	-6.31
Best Period	20.14	19.73	21.65	14.09	16.57	12.26
Worst Period	-14.49	-14.78	-21.61	-11.83	-16.96	-16.41
Standard Deviation	5.19	7.88	8.92	6.70	8.32	6.60
Gain Standard Deviation	6.05	6.13	4.98	3.21	4.15	3.93
Loss Standard Deviation	3.54	4.61	5.45	3.24	5.01	4.33
Sharpe Ratio (1%)	-0.10	-0.11	-0.21	-0.38	-0.30	-0.62
Average Gain / Average Loss	2.97	1.37	0.81	0.84	1.41	0.63
Profit / Loss Ratio	0.74	0.80	0.68	0.59	0.75	0.44
Downside Deviation (10%)	3.79	6.22	8.62	9.10	11.63	13.88
Downside Deviation (5%)	3.64	5.60	7.35	6.16	7.14	7.12
Downside Deviation (0%)	3.60	5.44	7.05	5.46	6.16	5.77
Sortino Ratio (10%)	-0.22	-0.30	-0.45	-0.72	-0.73	-0.89
Sortino Ratio (5%)	-0.14	-0.16	-0.25	-0.41	-0.34	-0.57
Sortino Ratio (0%)	-0.12	-0.12	-0.19	-0.28	-0.15	-0.36

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Stock Index Trader Index	Month	4	3.04	11/2018
Trend Following Strategy Index	Month	10	3.04	11/2018
Trend Following Strategy Index	Month	1	20.14	7/2018
Systematic Trader Index	Month	1	20.14	7/2018
Stock Index Trader Index	Month	1	20.14	7/2018

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

^#4

Top Performer

STOCK INDEX TRADER INDEX

NOVEMBER
2018

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More Programs by Kinkopf Capital Management

Program Name	CAROR
KCM S&P SELECT (Proprietary)	5.51%
KCM S&P SELECT (Managed Client Accounts)	-6.34%

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Kinkopf Capital Management : KCM S&P SELECT (Managed Client Accounts)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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