Kinkopf Capital Management : KCM S&P SELECT (Proprietary)

Year-to-Date
4.17%
Oct Performance
8.10%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.30%
Sharpe (RFR=1%)
0.42
CAROR
7.56%
Assets
$ 303k
Worst DD
-20.47
S&P Correlation
0.08

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2015
KCM S&P SELECT (Proprietary) 8.10 11.49 4.17 -8.70 -5.55 - - 37.15
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 40.05
+/- S&P 500 6.06 9.58 -16.99 -20.70 -46.97 - - -2.90

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
0%
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 dated 8/1/2015. 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. The proprietary performance above is based on the Advisors trading account trading the S&P SELECT 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 an (8) lot for a $200,000 account. An account valued at $176K would trade a (7) 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.

   

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

Reward
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.47 8 - 11/1/2018 7/1/2019
-14.92 24 1 6/1/2016 6/1/2018
-9.66 2 3 1/1/2016 3/1/2016
-0.51 2 1 1/1/0001 8/1/2015
-0.51 3 1 7/1/2018 10/1/2018
-0.22 1 1 10/1/2015 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
23.48 2 12/1/2015 1/1/2016
19.91 1 7/1/2018 7/1/2018
19.22 2 9/1/2015 10/1/2015
10.85 2 8/1/2017 9/1/2017
8.10 1 10/1/2019 10/1/2019
6.55 1 8/1/2019 8/1/2019
6.39 1 6/1/2016 6/1/2016
5.91 1 4/1/2016 4/1/2016
3.05 1 3/1/2017 3/1/2017
2.97 1 11/1/2018 11/1/2018
1.07 1 4/1/2018 4/1/2018
0.45 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.47 8 12/1/2018 7/1/2019
-11.64 2 5/1/2018 6/1/2018
-9.66 2 2/1/2016 3/1/2016
-6.83 5 10/1/2016 2/1/2017
-6.18 4 4/1/2017 7/1/2017
-3.20 1 9/1/2019 9/1/2019
-2.94 6 10/1/2017 3/1/2018
-2.15 2 7/1/2016 8/1/2016
-0.51 1 5/1/2016 5/1/2016
-0.51 2 7/1/2015 8/1/2015
-0.51 3 8/1/2018 10/1/2018
-0.22 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable28.8548.0051.0646.3448.5748.2841.18
Average Period Return0.762.093.073.333.325.017.81
Average Gain7.059.7112.7515.3314.3516.6432.80
Average Loss-1.79-4.93-7.04-7.04-7.11-5.83-9.68
Best Period19.9123.2146.6347.9936.2339.6051.50
Worst Period-14.88-15.17-20.20-18.53-14.74-14.92-16.74
Standard Deviation5.579.4113.7015.9214.2614.8924.11
Gain Standard Deviation5.117.2612.2115.9112.5213.4316.69
Loss Standard Deviation3.264.275.224.764.733.854.69
Sharpe Ratio (1%)0.120.200.190.150.130.200.20
Average Gain / Average Loss3.931.971.812.182.022.853.39
Profit / Loss Ratio1.591.821.891.881.912.662.37
Downside Deviation (10%)3.295.377.559.4811.2412.2320.02
Downside Deviation (5%)3.144.806.376.807.006.2410.33
Downside Deviation (0%)3.114.666.086.186.074.988.17
Sortino Ratio (10%)0.110.160.08-0.18-0.38-0.43-0.40
Sortino Ratio (5%)0.210.380.400.340.260.480.46
Sortino Ratio (0%)0.240.450.500.540.551.010.96

Top Performer Badges

Index Award Type Rank Performance Period

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