Managed Futures Database, Resource & Tools

Program Details

PDFPermalink

Kinkopf Capital Management, LLC 

Kinkopf Capital - S&P (Prop)

Manager: Ken Kinkopf

Address: 222 Lenox Ct, Grayslake, IL, 60030, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Jan 28, 1999
AUM:$127,490
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:207.90%114.70%
Annual ROR:6.13%4.12%
YTD:-14.74%15.81%
1 Year:-3.28%17.88%
Alpha:-0.28
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:6.78%4759.93%
Average Monthly Loss:-5.89%-2.55%
Winning Months:121195
Losing Months:10632
Current DD:61.530.32
Max DD:67.8852.56
Sharpe Ratio (RF 1%):0.17
Annualized Std Dev:29.83

Methodology

Discretionary:0%
Systematic:100%

Strategy

DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Pattern Recognition:50%
Quantitative:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20174.098.29-3.91-14.94-10.57-13.626.456.783.29-1.583.67-14.74
20168.6211.810.81-0.365.875.79-2.44-3.40-10.76-5.004.7313.4429.69
201523.80-0.95-5.54-1.83-16.681.371.4614.72-24.012.380.14-10.52-22.07
2014-5.578.82-5.915.07-3.579.50-3.03-10.89-12.79-21.070.76-8.60-41.24
20134.36-18.31-1.97-2.34-11.016.43-4.9810.1710.12-12.38-5.4312.14-17.20
2012-0.625.255.997.441.2618.8016.611.70-5.69-0.12-2.03-0.5655.94
2011-0.371.24-8.730.537.45-7.04-1.3217.83-5.75-3.39-3.361.03-4.44
2010-3.5521.484.330.40-9.33-3.86-1.97-0.42-0.14-4.802.997.259.67
20094.232.400.516.11-5.260.716.005.986.393.71-1.798.4843.42
2008-4.463.12-7.122.563.37-4.36-0.12-1.594.314.20-4.31-4.45-9.37
20075.713.71-0.173.494.189.062.419.10-5.89-10.03-18.510.900.10
20064.710.49-2.224.95-7.66-0.09-4.599.016.27-0.364.97-3.4711.17
2005-1.134.64-7.58-6.739.91-4.17-5.91-3.47-7.816.2810.34-0.40-8.14
2004-0.177.172.014.413.860.07-1.9310.25-0.704.42-5.812.3327.98
20032.82-9.716.626.716.72-2.24-2.50-1.40-0.775.63-0.16-5.704.54
20023.818.53-6.34-1.460.30-10.58-12.1623.32-7.22-2.799.11-19.00-19.47
2001-3.56-11.3216.5010.344.0217.8311.496.00-3.972.192.554.0966.81
20003.439.595.2010.1512.717.09-0.730.38-2.263.39-0.014.4666.74
19990.08-14.9320.42-7.03-28.7339.66-3.945.90-16.4018.501.9915.7512.87

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

*Proprietary returns listed* Kinkopf Capital Management, LLC S&P Program uses a systematic technical analysis approach that incorporates a diverse array of data that is programmatically analyzed and then statistically evaluated to produce a trading system that is long term stable yet robust to react to system changes over time.


S&P Strategy
The S&P strategy is a Long/Short Equity program, which uses the S&P 500 futures as its investment vehicle. Kinkopf Capital Management employs a systematic technical analysis approach in forecasting. The strategy incorporates a diverse array of data that is programmatically analyzed and then statistically evaluated to produce a trading system that is long term stable yet robust to react to system changes over time.

UPDATE: As of July 1, 2015 the long running S&P Managed Account program's Volatility Scaling component has been updated. Octagle has now been integrated as its Volatility Scaling (VoS) component after a turbulent twelve months. Its 16-year core trade engine remains the primary trade generator since its 1999 inception. The core engine continues to be based only on market internals rather than price. Details can be found at http://www.kinkopfcapital.com/information/octagle

The proprietary performance above is based on the Advisors trading account trading the S&P 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 a (10) lot for a $200,000 account. An account valued at $180K would trade a (9) 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.

Company Info

Kinkopf Capital Management, LLC, is a New Jersey formed Limited Liability Company. Kinkopf Capital Management, LLC., is registered as a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission (CFTC) and is also a member of the National Futures Association (NFA) effective June 16, 2005. The company website can be accessed at http://www.kinkopfcapital.com.

Kinkopf Capital Management provides individual and institutional investors alternative investment opportunities in the managed futures arena. The Kinkopf Capital - SP managed account program specializes in a Long/Short strategy, which uses the S&P 500 futures as its investment vehicle. Mr. Kinkopf has traded the S&P since 1989 and has been ranked amount the Top 20 CTAs by CTA-Info throughout various time frames.

Manager Info

Ken Kinkopf is a member of the National Futures Association ("NFA") and registered with the Commodities Futures Trading Commission ("CFTC") as an associated person and principal of Kinkopf Capital Management, LLC. Kinkopf Capital Management, LLC is a registered CTA. Mr. Kinkopf is responsible for all trading decisions and the general management of the firm.

Mr. Kinkopf has over 25 years of market forecasting experience and has traded in various market conditions during the period. Ken has extensive expertise trading the S&P 500 Equity Futures since 1989. He is committed to Risk Management believes that discipline will allow his investment strategy to remain viable in the face of market adversity. Ken has been trading this systematic, non-discretionary trading program since 1999.

Prior "S&P program" accolades include;
Top 10 of Top 20 Hedge Funds for 2012 by Bloomberg.
Top 10 Traders of 2012 - Futures Magazine, March 2013 Issue
#1 Stock Index Trader for 2012 - CTA-Info Flash Reports
First Place in five (5) CTA Challenges from 2006-2010 winning $2,000,000 in trade allocations
Top 10 Traders of 2009 - Futures Magazine, March 2010 Issue
#1 Stock Index Trader for 2009 - CTA-Info Flash Reports

Mr. Kinkopf is also a guest speaker and technology consultant. He spoke at Terapinn Quant Invest, High Frequency Leaders Forum and Wall Street & Technology events. He has written white papers on quantitative trading methods and technology requirements for systems implementation. Ken was also a World Cup Advisor sponsored by Robbins Trading.

Prior to Kinkopf Capital, in May of 1991, he had co-foundered and became president of K&D Financial Corporation in New York, which provided financial advisory, and managed account services in the futures industry.