Kopis Capital Management, LLC : Commodity Long Only

archived programs
Year-to-Date
4.04%
Jan Performance
4.04%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
18.83%
Sharpe (RFR=1%)
-0.21
CAROR
-4.54%
Assets
$ 344k
Worst DD
-45.75
S&P Correlation
0.31

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Commodity Long Only 4.04 -3.46 4.04 -7.07 -11.72 -22.77 - -21.02
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 - 50.16
+/- S&P 500 -3.83 -3.18 -3.83 -2.83 -49.69 -72.93 - -71.18

Strategy Description

Summary

These results are based on pro forma returns from a retail version of the investment portfolio that have certain inherent limitations. The results shown in the performance record of the retail accounts represent the trading of single commodity etf's in place of futures contracts. These... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$6.82
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
100 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
33.00%
1-3 Months
33.00%
1-30 Days
34.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Livestock
20.00%
Softs
20.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

These results are based on pro forma returns from a retail version of the investment portfolio that have certain inherent limitations. The results shown in the performance record of the retail accounts represent the trading of single commodity etf's in place of futures contracts. These results may have under-or over-compensated for the impact, if any, of certain market factors and the returns of the strategy . No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Investment Strategy

The strategy works through applying a uniquely specialized multilevel cross valuation strategy consisting of over 250 pair trade evaluations to determine the individual commodity inclusion, side of the market, and position weighting. This process seeks to ensure that, in the opinion of the Fund’s investment manager; risk is fairly and consistently compensated. This process naturally supports our driving principal of avoid the bubble and skews the return distribution to the positive while keeping kurtosis low, thus helping to reduce the potential of large negative tail events.

Risk Management

Our entry system takes multiple steps into a trade to help protect against potential loss in the event of an immediate reversal. Next all positions are followed with a trailing stop that adjusts along with price movement in a manner determined by the volatility of those price movements.

   

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
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
-45.75 56 - 4/1/2014 12/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
39.93 4 1/1/2014 4/1/2014
18.63 4 3/1/2016 6/1/2016
12.77 2 10/1/2018 11/1/2018
5.59 1 6/1/2015 6/1/2015
4.47 1 4/1/2015 4/1/2015
4.44 4 9/1/2016 12/1/2016
4.28 2 4/1/2018 5/1/2018
4.19 2 1/1/2018 2/1/2018
4.10 1 2/1/2015 2/1/2015
4.04 1 1/1/2019 1/1/2019
3.67 1 10/1/2014 10/1/2014
2.91 1 6/1/2017 6/1/2017
2.67 2 7/1/2014 8/1/2014
0.87 1 11/1/2017 11/1/2017
0.45 1 10/1/2015 10/1/2015
0.44 1 12/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.32 2 5/1/2014 6/1/2014
-14.67 4 11/1/2015 2/1/2016
-14.30 1 12/1/2018 12/1/2018
-13.17 3 7/1/2015 9/1/2015
-10.74 4 7/1/2017 10/1/2017
-10.19 1 9/1/2014 9/1/2014
-9.34 4 6/1/2018 9/1/2018
-8.24 5 1/1/2017 5/1/2017
-6.71 2 7/1/2016 8/1/2016
-5.25 1 1/1/2015 1/1/2015
-4.53 1 5/1/2015 5/1/2015
-3.89 1 3/1/2015 3/1/2015
-2.49 1 3/1/2018 3/1/2018
-0.27 1 11/1/2014 11/1/2014
-0.12 1 12/1/2017 12/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable47.5430.5125.0018.006.822.630.000.00
Average Period Return-0.24-1.17-3.83-7.75-12.03-15.24-21.28-28.58
Average Gain3.737.826.206.054.572.26
Average Loss-3.85-5.11-7.17-10.78-13.24-15.71-21.28-28.58
Best Period23.0036.8317.0912.1211.932.26-3.71-16.89
Worst Period-14.30-14.71-20.01-24.66-30.70-33.76-35.44-39.67
Standard Deviation5.438.517.618.318.427.377.666.56
Gain Standard Deviation4.399.945.393.936.41
Loss Standard Deviation3.403.284.765.417.216.867.666.56
Sharpe Ratio (1%)-0.06-0.17-0.57-1.05-1.61-2.34-3.17-4.98
Average Gain / Average Loss0.971.530.860.560.350.14
Profit / Loss Ratio0.880.670.290.120.030.00
Downside Deviation (10%)3.925.939.3015.1021.3026.5137.7950.53
Downside Deviation (5%)3.745.227.8011.7115.8118.7225.4433.25
Downside Deviation (0%)3.705.047.4310.9014.5216.8822.5629.27
Sortino Ratio (10%)-0.17-0.40-0.68-0.84-0.92-0.96-0.98-0.99
Sortino Ratio (5%)-0.09-0.27-0.56-0.75-0.86-0.92-0.96-0.98
Sortino Ratio (0%)-0.07-0.23-0.52-0.71-0.83-0.90-0.94-0.98

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 2 8.27 11/2018
Systematic Trader Index Month 2 8.27 11/2018
Diversified Trader Index Month 2 8.27 11/2018
Systematic Trader Index Month 8 5.78 4/2016
Diversified Trader Index Month 8 5.78 4/2016
Diversified Trader Index Month 9 5.42 3/2016

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