Kinkopf Capital Management : KCM S&P SELECT (Managed Client Accounts) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 7.28% Dec Performance -0.17% Min Investment $ 25k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 21.64% Sharpe (RFR=1%) 0.04 CAROR -0.37% Assets $ 55k Worst DD -21.87 S&P Correlation 0.19 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since2/2016 KCM S&P SELECT (Managed Client Accounts) -0.17 6.90 7.28 7.28 1.63 - - -1.79 S&P 500 3.71 11.69 16.26 16.26 40.48 - - 92.41 +/- S&P 500 -3.88 -4.79 -8.98 -8.98 -38.85 - - -94.20 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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 StrategyThe “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 ManagementMr. 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. 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 -21.87 8 10 11/1/2018 7/1/2019 -19.90 5 - 5/1/2020 10/1/2020 -16.74 29 1 1/1/0001 6/1/2018 -0.51 3 1 7/1/2018 10/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 20.14 1 7/1/2018 7/1/2018 17.56 1 2/1/2020 2/1/2020 16.85 1 11/1/2020 11/1/2020 10.80 2 8/1/2017 9/1/2017 10.49 1 10/1/2019 10/1/2019 9.57 1 5/1/2020 5/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -21.87 8 12/1/2018 7/1/2019 -19.90 5 6/1/2020 10/1/2020 -14.29 9 10/1/2017 6/1/2018 -10.86 3 11/1/2019 1/1/2020 -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 3/1/2020 4/1/2020 -0.17 1 12/1/2020 12/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods59.0057.0054.0048.0042.0036.0024.00 Percent Profitable22.0345.6150.0047.9240.4841.6745.83 Average Period Return0.160.240.610.880.42-1.58-2.36 Average Gain8.497.798.7410.3311.596.868.03 Average Loss-2.20-6.09-7.51-7.81-7.18-7.61-11.15 Best Period20.1419.7327.9430.7722.3926.0419.49 Worst Period-14.49-19.63-21.61-19.91-18.14-16.41-19.43 Standard Deviation6.258.669.9711.5311.189.5511.65 Gain Standard Deviation6.235.226.429.106.928.358.07 Loss Standard Deviation3.785.154.924.485.754.364.80 Sharpe Ratio (1%)0.010.000.01-0.01-0.10-0.38-0.46 Average Gain / Average Loss3.861.281.161.321.610.900.72 Profit / Loss Ratio1.091.071.161.221.100.640.61 Downside Deviation (10%)4.026.567.859.8012.2614.6921.37 Downside Deviation (5%)3.865.986.617.107.988.0511.00 Downside Deviation (0%)3.835.846.326.467.046.668.88 Sortino Ratio (10%)-0.06-0.15-0.24-0.42-0.59-0.81-0.85 Sortino Ratio (5%)0.020.000.02-0.02-0.14-0.45-0.49 Sortino Ratio (0%)0.040.040.100.140.06-0.24-0.27 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 1 16.85 11/2020 Trend Following Strategy Index Month 3 16.85 11/2020 IASG CTA Index Month 4 16.85 11/2020 Systematic Trader Index Month 4 16.85 11/2020 Trend Following Strategy Index Month 2 9.57 5/2020 Systematic Trader Index Month 2 9.57 5/2020 IASG CTA Index Month 3 9.57 5/2020 Stock Index Trader Index Month 1 9.57 5/2020 Stock Index Trader Index Month 2 17.56 2/2020 Trend Following Strategy Index Month 4 17.56 2/2020 IASG CTA Index Month 5 17.56 2/2020 Systematic Trader Index Month 5 17.56 2/2020 Systematic Trader Index Month 2 10.49 10/2019 Stock Index Trader Index Month 1 10.49 10/2019 Trend Following Strategy Index Month 1 10.49 10/2019 IASG CTA Index Month 2 10.49 10/2019 Stock Index Trader Index Month 1 8.22 8/2019 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 Trend Following Strategy Index Month 10 3.04 11/2018 Stock Index Trader Index Month 4 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. x {{title}} x {{title}} Add Cancel