Alternative Commodity Algorithmic Program Index (ACAP-I)
NOTE: It is not possible to invest directly in an index. An index return series is HYPOTHETICAL and does not account for transaction costs (i.e. exchange fees, commissions, slippage) or any management or performance fees. Please read the DISCLAIMER below for the limitations of HYPOTHETICAL returns.
- ACAP-I is a proprietary index developed and calculated by Matsen Enterprises.
- ACAP-I was designed to provide a more reasoned way to access the benefits from the commodity asset class. ACAP-I incorporates trend/counter-trend factors, a risk-parity weighting scheme, and algorithms that take into account characteristics unique to commodities (i.e. carry/backwardation, seasonality).
- Historical returns using the ACAP-I methodlogy go back to 2000.
- The return series (Continuos Contract and Total Return) has demonstrated consistent non-correlation to equities with low-volatility versus comparable commodity programs.
- ACAP-I return profile has shown to deliver non-correlated benefits similar to managed futurees programs.
- Fixed Methodology: ACAP-I utilizes a transparent fixed methodology (no style drift) that combines trend, counter-trend, volatility, and seasonality analysis to determine monthly long/short/flat positions in selected commodity futures markets.
- Highly Liquid: ACAP-I components are highly liquid, U.S. Exchange listed (no counter-party risk) commodity futures contracts. These contracts represent the main commodity sectors: Grains, Livestock, Metals, Softs, and Energy.
- Risk Management: ACAP-I has built-in risk management procedures. This includes a proprietary risk-parity structured volatility weighting scheme that combines historical seasonal volatility factors with recent price activity.
- Diversification: ACAP-I has shown to be consistently non-correlated to equities and provides superior diversification benefits to a core 60/40 equity/fixed income portfolio compared to other investable alternative programs. These include long-only and active commodity-based programs and managed futures.
- Collateralized Returns: ACAP-I computes Continuous Contract (i.e. Excess Return) and Total Return values. The Continuous Contract is a measure of the long/short positioned price returns. ACAP-I Total Return includes the Contiuous Contract returns plus interest earned.
DISCLAIMER
HYPOTHETICAL PERFORMANCE RECORDS ARE PREPARED WITH THE BENEFIT OF HINDSIGHT AND INVARIABLY SHOW POSITIVE RATES OF RETURN.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
THIS WEB PAGE IS FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE TREATED AS INVESTMENT ADVICE OR AN OFFER TO INVEST.
PAST PERFORMANCE IS NO GUARANTY OF FUTURE RESULTS.
THERE IS ALWAYS A SUBSTANTIAL RISK OF LOSS