ACAP transacts only in highly liquid, US Exchange listed futures contracts.

 The return derived from exposure to any commodity futures contract is the sum of: 
    1) Change in spot price.

    2) Roll yield.  The roll yield can be either positive or negative.  When rolling a long futures position, a backwardated forward curve normally provides a positive return as one is rolling from from a higher priced futures contract into a lower priced futures contract. The opposite is true for a contango (carry) structured forward curve.

    3) Collateral yield.  The collateralized return from interest earned on deposited funds.  ACAP  uses the the Federal 3-Month Treasury Bill Rate for its hypothetical performance.

The Alternative Commodity Algorithmic Program – Continuous Contract (“ACAP-CC”) return is comprised of the first two types listed above.  Since the ACAP-CC is comprised of both long and short positions, the roll yield may be either positive or negative, depending on the position being established for the upcoming period.  

Alternative Commodity Algorithmic Program – Total Return (“ACAP”) is comprised of all three types of return listed above.

Alternative Commodity Algorithmic Program – S (“ACAP-S”) is the ACAP less the expected management fee, performance fee, and transaction costs to provide a more representative return for an investor to use when comparing the hypothetical ACAP historical returns versus comparable programs.