Kopis Capital Management, LLC : Commodity Long Short Separate Account

Year-to-Date
1.26%
Sep Performance
2.62%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
16.25%
Sharpe (RFR=1%)
0.39
CAROR
6.18%
Assets
$ 837k
Worst DD
-14.35
S&P Correlation
-0.12

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2015
Commodity Long Short Separate Account 2.62 -2.76 1.26 5.70 44.21 - - 30.31
S&P 500 1.72 1.19 18.74 2.15 35.89 - - 39.82
+/- S&P 500 0.90 -3.95 -17.48 3.55 8.32 - - -9.50

Strategy Description

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... Read More

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%

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

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.

   

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
-14.35 8 3 1/1/2016 9/1/2016
-10.28 10 5 6/1/2017 4/1/2018
-8.03 4 3 6/1/2015 10/1/2015
-7.40 5 - 3/1/2019 8/1/2019
-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
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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
1.54 1 3/1/2017 3/1/2017
1.23 1 9/1/2017 9/1/2017
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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
-2.10 2 1/1/2017 2/1/2017
-0.70 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable54.7250.9872.9276.19100.00100.00100.00
Average Period Return0.611.834.058.8412.8615.8127.38
Average Gain3.937.077.1212.6112.8615.8127.38
Average Loss-3.41-3.63-4.21-3.25
Best Period13.3021.9223.5125.0926.2236.4344.21
Worst Period-10.31-13.14-9.34-7.020.092.575.06
Standard Deviation4.696.627.519.336.967.0611.19
Gain Standard Deviation3.324.596.207.246.967.0611.19
Loss Standard Deviation2.362.943.221.76
Sharpe Ratio (1%)0.110.240.470.841.631.952.18
Average Gain / Average Loss1.151.951.693.88
Profit / Loss Ratio1.392.034.5612.43
Downside Deviation (10%)3.003.953.904.262.311.813.02
Downside Deviation (5%)2.823.382.932.230.24
Downside Deviation (0%)2.773.242.721.78
Sortino Ratio (10%)0.070.150.410.902.283.073.85
Sortino Ratio (5%)0.190.471.213.5148.08
Sortino Ratio (0%)0.220.561.494.96

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 6 2.62 9/2019
Diversified Trader Index Month 4 13.30 3/2019
Systematic Trader Index Month 5 13.30 3/2019
IASG CTA Index Month 6 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.