Off-Topic: Financial Commodity Investments (FCI), a CTA

["CSS" <casisl1@xxxxxxx>]

Has anyone here had any experience with FCI?  I am puzzled by their
calculation of their incentive fee.  Net Assets are defined in their
disclosure document as assets net of all fees and liabilities and includes
open positions at current market value.  Their incentive fee is then defined
as 20% of the difference between the current month-end Net Assets and the
highest previous month-end Net Assets ("Net Profit", zero if a loss).  This
seems straightforward enough, but although the minuend (current month-end
Net Assets) which they use is exactly the Liquidating Value reported on my
monthly CFM statement, the subtrahend which they use ("highwater mark") is
always less than the highest previous month-end Liquidating Value.  This, of
course, results in an excess "Net Profit" and incentive fee.  I have asked
several times for a detailed explanation of how they calculate these items,
but their responses are fragmented and incomplete.

Thanks for any suggestions/clues as to how they might rationalize this.

Carroll Slemaker