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

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

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Year-to-Date
4.41%
Dec Performance
-0.17%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.08%
Sharpe (RFR=1%)
-0.09
CAROR
-2.23%
Assets
$ 51k
Worst DD
-21.87
S&P Correlation
0.21
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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 Dec Qtr 2019 1yr 3yr 5yr 10yr Since
2/2016
KCM S&P SELECT (Managed Client Accounts) -0.17 10.11 4.41 4.41 0.36 - - -8.45
S&P 500 2.86 8.53 28.87 28.87 42.84 - - 65.50
+/- S&P 500 -3.03 1.58 -24.46 -24.46 -42.48 - - -73.95

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%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
10.00%
Technical
10.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

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 component allows for the possibility of short-term trend captures.

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.

   

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

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
-21.87 8 - 11/1/2018 7/1/2019
-16.74 29 1 1/1/0001 6/1/2018
-0.51 3 1 7/1/2018 10/1/2018
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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
10.49 1 10/1/2019 10/1/2019
8.22 1 8/1/2019 8/1/2019
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.87 8 12/1/2018 7/1/2019
-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
-4.10 1 9/1/2019 9/1/2019
-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
-0.34 2 11/1/2019 12/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable21.2842.2245.2436.1133.3329.17
Average Period Return-0.060.04-0.87-3.10-2.07-3.74
Average Gain6.647.427.215.298.523.97
Average Loss-1.87-5.36-7.54-7.84-7.37-6.91
Best Period20.1419.7321.6514.0916.5712.26
Worst Period-14.49-14.78-21.61-19.91-16.96-16.41
Standard Deviation5.228.079.027.619.146.33
Gain Standard Deviation5.555.625.153.083.693.93
Loss Standard Deviation3.364.495.204.675.703.89
Sharpe Ratio (1%)-0.03-0.03-0.15-0.54-0.39-0.91
Average Gain / Average Loss3.561.380.960.671.160.57
Profit / Loss Ratio0.961.010.790.380.580.24
Downside Deviation (10%)3.576.028.3110.9313.0715.29
Downside Deviation (5%)3.415.427.047.968.558.16
Downside Deviation (0%)3.375.276.737.257.536.63
Sortino Ratio (10%)-0.13-0.20-0.40-0.74-0.74-0.91
Sortino Ratio (5%)-0.04-0.04-0.19-0.52-0.42-0.70
Sortino Ratio (0%)-0.020.01-0.13-0.43-0.27-0.56

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 1 10.49 10/2019
Stock Index Trader Index Month 1 10.49 10/2019
IASG CTA Index Month 2 10.49 10/2019
Systematic Trader Index Month 2 10.49 10/2019
Trend Following Strategy Index Month 5 0.00 9/2019
IASG CTA Index Month 7 8.22 8/2019
Trend Following Strategy Index Month 9 8.22 8/2019
Systematic Trader Index Month 9 8.22 8/2019
Stock Index Trader Index Month 1 8.22 8/2019
Stock Index Trader Index Month 4 3.04 11/2018
Trend Following Strategy Index Month 10 3.04 11/2018
Stock Index Trader Index Month 1 20.14 7/2018
Trend Following Strategy Index Month 1 20.14 7/2018
Systematic 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.

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