ACAP is a proprietary program developed by RTM Analytics. ACAP measures the performance of a program with a transparent, fixed long/short/flat methodology that utilizes commodity futures. ACAP has demonstrated sustainable non-correlated returns that are additive to a well-structured equity/fixed income portfolio in all economic environments.
ACAP-S is the ACAP -Total Return net of estimated costs associated with management fees and transaction costs. This version of ACAP allows for a more "apples-to-apples" comparison versus investable programs in the space.
Currently, ACAP has been licensed to an established CTA that has $5m benchmarked to the index.
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ACAP utilizes a proprietary fixed methodology that combines trend, counter-trend, and seasonality analysis to determine monthly long/short/flat positions in 20 commodity futures markets.
ACAP is comprised of highly liquid, U.S. Exchange listed commodity futures contracts. These contracts represent the main commodity sectors: Grains, Livestock, Metals, Softs, and Energy.
ACAP 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.
ACAP has shown to provide 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.
ACAP is a long/short/flat algorithmic program that seeks to address the shortcomings of long-only commodity exposures. The ACAP methodology seeks to account for fundamental factors unique to each component commodity and apply these key individualized factors into its algorithms.
The ACAP-S returns shown below represent the ACAP-Toal Return less expected management fees and transaction costs of 2.00% annually.
Period ACAP-S (updated 1/21/25)
Daily + 0.34%
MTD + 0.06%
YTD + 0.06% _
1 Year + 1.36%
3 Year + 20.26%
5 Year + 19.83%
10 Year + 19.66%
20 Year + 17.10% __________
* 3, 5, 10, and 20 year returns are annualized.
The following tables compare the correlations and returns over time of the ACAP - Total Return and S&P Goldman Sachs Commodity Index - Total Return (SPGSCI), the recognized long-only commodity benchmark, to the S&P 500 ETF (SPY). The tables show how long-only commodity exposure has failed to provide non-correlated returns to equities, resulting in decreased diversification - the key reason portfolio managers utilize this asset class.
Corr to SPY ACAP-TR (Gross, Annualized)
Correlation ACAP* SPGSCI _ ACAP* SPGSCI _
2001 - 2010 (0.03) 0.30 +19.45% +1.77%
2006 - 2015 (0.08) 0.50 +16.79% -10.56%
2010 - 2020 (0.14) 0.45 +17.15% -8.76%
2016 - 2024 (0.08) 0.41 +22.23% +5.96%
* The information for ACAP-TR (GROSS) above are for illustrative purposes only. ACAP-TR (GROSS) information is HYPOTHETICAL total return (collateralized) and does not reflect actual investment results or the trading of an actual account.
PAST PERFORMANCE IS NO GUARANTY OF FUTURE RESULTS
The information on this web site is for illustrative purposes only. Hypothetical results relating to the Alternative Commodity Algorithmic Program (“ACAP©”) do not reflect actual investment results or the trading of an actual account and are achieved by the retroactive application of market and other trading data. Hypothetical results have many inherent limitations, including that they are prepared with the benefit of hindsight. Hypothetical results do not involve financial risk. 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 preparation of hypothetical results, all of which can adversely affect actual trading results. This presentation is for informational purposes only. Information shown has been prepared by RTM Analytics. This presentation is neither an offer to sell nor a solicitation to purchase any securities, investment product or investment advisory services in any investment fund.
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PAST PERFORMANCE IS NO GUARANTY OF FUTURE RESULTS
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