Kopis Capital Management, LLC : Commodity Long Short Separate Account

Year-to-Date: 0.18%
Nov Performance: 1.93%

Min Investment: $ 1,000k
Mgmt. Fee: 1.00%
Perf. Fee: 10.00%

Annualized Vol: 16.06%
Sharpe (RFR=1%): 0.36
CAROR: 5.62%

Assets: $ 826k
Worst DD: -14.35
S&P Correlation: -0.12

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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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 5/2015
Commodity Long Short Separate Account	1.93	1.16	-0.18	-1.48	23.46	-	-	28.46
S&P 500	3.40	7.33	25.29	13.79	41.40	-	-	47.53
+/- S&P 500	-1.47	-6.17	-25.47	-15.27	-17.94	-	-	-19.07

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor
Management Fee: 1.00%
Performance Fee: 10.00%
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: 15%
Targeted Worst DD
Worst Peak-to-Trough: 25.43%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 55.00%
1-30 Days: 40.00%
Intraday: 5.00%

Summary

The Commodity Long Short Program, which is currently being offered by Kopis to new clients, commenced trading in May 2015. The Commodity Long Short Program will trade a portfolio of Futures Interest Contracts limited to futures on physical commodities. These Futures Interest Contracts are traded on a highly leveraged basis. The decision to periodically add or subtract markets from the Commodity Long Short Program shall be at the sole discretion of Kopis. Clients will not be informed of these changes as they occur. When the Commodity Long Short program is traded for separately-managed accounts, variations in performance attributable to different fee structures, as well as different levels of leverage, may cause variations in resulting performance.

Investment Strategy

The Commodity Long Short 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 produce a return distribution with positive skew while keeping kurtosis low, thus helping to reduce the potential of large negative tail events. Our entry system is a simple channel break entry. 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.

Risk Management

Position sizing is determined by our mathematical framework. All positions are initiated with a protective stop and followed with a trailing stop that adjusts along with price movement in a manner determined by the volatility of those price movements.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-14.35	8	3	1/1/2016	9/1/2016
-10.28	10	5	6/1/2017	4/1/2018
-8.10	7	-	3/1/2019	10/1/2019
-8.03	4	3	6/1/2015	10/1/2015
-7.17	3	1	11/1/2018	2/1/2019
-4.66	1	1	1/1/0001	5/1/2015
-2.10	2	3	12/1/2016	2/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
24.10	7	5/1/2018	11/1/2018
21.92	3	10/1/2016	12/1/2016
13.30	1	3/1/2019	3/1/2019
13.26	3	11/1/2015	1/1/2016
10.98	1	6/1/2016	6/1/2016
7.69	2	5/1/2017	6/1/2017
6.23	1	6/1/2015	6/1/2015
4.72	1	3/1/2016	3/1/2016
3.92	4	12/1/2017	3/1/2018
3.29	2	5/1/2019	6/1/2019
3.26	1	8/1/2015	8/1/2015
2.62	1	9/1/2019	9/1/2019
1.93	1	11/1/2019	11/1/2019
1.54	1	3/1/2017	3/1/2017
1.23	1	9/1/2017	9/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.14	3	7/1/2016	9/1/2016
-10.31	1	2/1/2016	2/1/2016
-7.62	2	7/1/2017	8/1/2017
-7.17	3	12/1/2018	2/1/2019
-6.86	1	7/1/2015	7/1/2015
-5.40	2	4/1/2016	5/1/2016
-5.39	1	4/1/2019	4/1/2019
-5.24	2	7/1/2019	8/1/2019
-4.66	1	5/1/2015	5/1/2015
-4.37	2	9/1/2015	10/1/2015
-4.26	1	4/1/2018	4/1/2018
-3.58	2	10/1/2017	11/1/2017
-3.29	1	10/1/2019	10/1/2019
-2.10	2	1/1/2017	2/1/2017
-0.70	1	4/1/2017	4/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	55.00	53.00	50.00	44.00	38.00	32.00	20.00
Percent Profitable	54.55	50.94	70.00	72.73	100.00	100.00	100.00
Average Period Return	0.56	1.69	3.78	8.36	13.28	15.99	27.11
Average Gain	3.87	6.85	7.12	12.61	13.28	15.99	27.11
Average Loss	-3.41	-3.67	-4.02	-2.97
Best Period	13.30	21.92	23.51	25.09	26.22	36.43	44.21
Worst Period	-10.31	-13.14	-9.34	-7.02	0.09	2.57	5.06
Standard Deviation	4.64	6.56	7.47	9.37	7.00	6.91	10.62
Gain Standard Deviation	3.28	4.64	6.20	7.24	7.00	6.91	10.62
Loss Standard Deviation	2.31	2.89	3.03	1.72
Sharpe Ratio (1%)	0.10	0.22	0.44	0.79	1.68	2.02	2.27
Average Gain / Average Loss	1.13	1.87	1.77	4.24
Profit / Loss Ratio	1.36	1.94	4.13	11.32
Downside Deviation (10%)	2.99	3.96	3.97	4.40	2.25	1.76	2.86
Downside Deviation (5%)	2.80	3.39	2.95	2.25	0.23
Downside Deviation (0%)	2.76	3.25	2.72	1.77
Sortino Ratio (10%)	0.05	0.12	0.33	0.76	2.53	3.27	3.96
Sortino Ratio (5%)	0.17	0.42	1.11	3.28	51.22
Sortino Ratio (0%)	0.20	0.52	1.39	4.71

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	6	2.62	9/2019
Diversified Trader Index	Month	6	2.62	9/2019
IASG CTA Index	Month	6	13.30	3/2019
Diversified Trader Index	Month	4	13.30	3/2019
Systematic Trader Index	Month	5	13.30	3/2019
IASG CTA Index	Year Rolling	7	21.21	2017 - 2018
Systematic Trader Index	Month	7	3.99	10/2018
Diversified Trader Index	Month	5	3.99	10/2018
IASG CTA Index	Month	1	5.64	9/2018
Systematic Trader Index	Month	1	5.64	9/2018
Diversified Trader Index	Month	1	5.64	9/2018
Diversified Trader Index	Month	1	5.64	9/2018
Systematic Trader Index	Month	1	5.64	9/2018
IASG CTA Index	Month	1	5.64	9/2018
IASG CTA Index	Month	4	6.34	6/2018
Diversified Trader Index	Month	2	6.34	6/2018
Systematic Trader Index	Month	3	6.34	6/2018
Diversified Trader Index	Month	3	3.14	6/2017
Systematic Trader Index	Month	6	3.14	6/2017
Systematic Trader Index	Month	7	4.41	5/2017
Diversified Trader Index	Month	9	4.41	5/2017

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

^#6

Top Performer

DIVERSIFIED TRADER INDEX

SEPTEMBER
2019

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Commodity Long Short Separate Account	5.62%

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Kopis Capital Management, LLC : Commodity Long Short Separate Account

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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