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​​​​​​​​​​​​​Proprietary Account Performance

Kinkopf Capital currently trades and offers the following two programs. Both programs trade the S&P e-mini futures exclusively. Managed Accounts and Proprietary accounts are traded using the identical methods.

 

S&P SELECT Program – Minimum Investment $25,000

The S&P SELECT Proprietary Account Program started trading on 7/1/2015. Unlike the S&P program, S&P SELECT core trading engine is based on price. The program is designed to be less volatile allowing for a smaller investment. Rather then using key market internals, price will be the primary deterministic component to initiate trades. A trend following component allows for short term trend ​​captures. Trades may occur less often but for longer durations. Only the top ranked trades categorized by the Octagle component are taken. Finally, volatility scaling will be performed by a trade selection process rather then contract quantities.

S&P "SELECT" PROPRIETARY PERFORMANCE SUMMARY as of 8/31/2017

Start Date: July 1, 2015

Total Return Since Inception:   39.02% ​​​​​​

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S&P Program – Minimum Investment $100,000

The S&P Proprietary Account Program started trading in January of 1999. The programs core trading engine is based on market internals rather then price. This system is a multivariable non-price based complex system where many inputs are analyzed.  The core engine has not changed since inception. In 2007 a volatility scaling algorithm was added. In 2014, a parallel engine call Octagle was incorporated and in July of 2015, Octagle was integrated with VoS.

 

S&P PROPRIETARY PERFORMANCE SUMMARY as of 8/31​​​​/2017​

Start Date: January 1999
Total Return Since Inception:   192.55%
Life Compounded Average Annual ROR:   5.92​% (vrs S&P 500 3.81%)

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August 2017 Proprietary Update Message:  

We finally witnessed some intra-month volatility spikes in the stock indices in August. While the Volatility Index has been trending lower since the intra-month spike, we are now elevated above the rock bottom floor of where we came from. This is very good. First, the spike was just enough to spur trading activity in the SELECT program. Second, the volatility chart looks like more may be on the way. Then again, maybe it was simply the eclipse since the first trade in the SELECT program occurred the day of the eclipse. Both programs remained active with the additional trade activity coming in the day North Korea fired a missile over Japan. While these events did not themselves trigger the trading, it was the market internals that lead the way.

For the month, the S&P SELECT program ended August up 5.99% while the aggressive S&P Program gained 6.78%

As mentioned last month our forecast models continue to show important changes coming into play the mid to late September time frame. It may appear that we are past the lull in trading. Time will tell.

Please feel free to contact me with any questions or concerns. I would be happy to discuss the programs with you.


Best Regards

Ken

​​​                             PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

MATERIAL DIFFERENCES IN S&P SELECT PROPRIETARY PERFORMANCE

The proprietary performance capsule above is based on the Trading Advisors proprietary account trading the S&P 500 e-minis using the S&P Select Program. The performance capsule starts with a yearly base of $100,000.

  1. The performance does not include earnings from T-Bill interest. The Trading Advisor may purchase T-Bills depending on the clients FCM T-Bill policy.
  2. As per current regulations, the Rate of Return is net of all fees.
    1. Monthly Management Fee's of 0.1667% (2% per annum) were deducted in the performance table above the last day of the month.
    2. Monthly Performance Fee's of 20% on "New High Profits" were deducted in the performance table above the last day of the month.
  3. Proprietary rate of return
    1. The monthly rate of return is based on the "realized and unrealized" gains and losses for the month trading the e-mini S&P 500 contract.
    2. Contract sizing based on an initial $25K investment will be one (1) contract with additions being achieved for each $25K change in invested value. Withdrawal of funds will prevent the "leveraging up" strategy that would normally occur. Negative performance will produce a similar effect.  Typically there will be one contact traded for each $25K invested. Client accounts that allow their account to grow will have additional lots based on account profits, whereas Client accounts that remove funds may not. The Trading Advisor may reduce, increase funds or change notional funding levels in its proprietary accounts from time to time. Therefore the returns achieved in the proprietary account do not reflect returns that a client may experience.
    3. Proprietary returns may also differ than actual client accounts due to leverage and net asset value differences. For example, an account valued at $25K may be trading the same lot size as an account valued at $45K and therefore the percentage change per lot will differ.

MATERIAL DIFFERENCES IN  S&P PROPRIETARY PERFORMANCE:

The proprietary performance capsule above is based on the Trading Advisors actual trading account trading the S&P 500 e-mini's. The performance capsule starts with a yearly base of $100,000.

  1. The performance does not include earnings from T-Bill interest. The Trading Advisor will purchase T-Bills depending on the clients FCM T-Bill policy.
  2. As per current regulations, the Rate of Return is net of all fees.
    1. Monthly Management Fee's of 0.1667% (2% per annum) were deducted in the performance  table above on the last day of the month.
    2. Monthly Performance Fee's of 20% on "New High Profits" were deducted in the performance table above on the last day of the month.
  3. Proprietary rate of return from 1/2006-11/2007
    1. Leverage was kept constant at five (5) S&P e-mini contacts traded for each $100K invested.
    2. The monthly rate of return is based on the "realized and unrealized" gains and losses for the month trading the e-mini S&P 500 contract. 
    3. The proprietary account did not employ the same "leveraging up" strategy that client accounts experienced. Client accounts had additional lots based on account profits, whereas the proprietary account did not. Therefore the returns achieved in the proprietary account do not reflect returns that a client may experience.
  4. Diifferences on proprietary rate of return from 12/2007 to present day.
    1. Leverage is based on varying contract allocations using the volatility scaling method which was introduced in December of 2007.  There will be between one (1) and seven (7) S&P e-mini contracts traded for  each $100K invested. In July of 2015, VoS was updated to reduce trade sizing after low volatility declines.
    2. The monthly rate of return is based on the "realized and unrealized" gains and losses for the month trading the e-mini S&P 500 contract.
    3.  Proprietary returns may differ than actual client accounts due to leverage and net asset value differences. For example, an account valued at $70K may be trading the same lot size as an account valued at $130K and therefore the percentage change per lot will differ.
    4. Returns after April 2014 have an additional multidimensional trade control algorithm called Octagle. This algorithm can at times initiate, extend, or exit trades.
  5. Proprietary rate of return from 7/1/2015 to present day
    1. Starting in July 2015, volatility scaling is now accomplished by trade selection (Octagle component selection) rather then contract lot sizing. Contract sizing based on an initial $100K investment will be five (5) contracts with additional lots being added for each $20K change in invested value. Withdrawal of funds will prevent the "leveraging up" strategy that would normally occur. Negative performance will produce a similar effect.  Typically there will be one contact traded for each $20K invested. Client accounts that allow their account to grow will have additional lots based on account profits, whereas Client accounts that remove funds may not. The Trading Advisor may reduce, increase funds or change notional funding levels in its proprietary accounts from time to time. Therefore the returns achieved in the proprietary account do not reflect returns that a client may experience.