Given a text T, and several options, according to the question posed in the text T to choose the most appropriate option from the options as the answer, please directly output the most appropriate option, do not need to output the explanation.

Jamal Nabli is a portfolio manager at NextWave Commodities (NWC), a commodity-based hedge fund located in the United States. NWC's strategy uses a fixed-weighting scheme to allocate exposure among 12 commodities, and it is benchmarked against the Thomson/Reuters/CoreCommodity CRB Index (TR/CC CRB). Nabli manages the energy and livestock sectors with the help of Sota Yamata, a junior analyst.Nabli and Yamata meet to discuss a variety of factors that affect commodity values in the two sectors they manage. Yamata tells Nabli the following:Statement 1 Storage costs are negatively related to futures prices.Statement 2 In contrast to stocks and bonds, most commodity investments are made by using derivatives.Statement 3 Commodities generate future cash flows beyond what can be realized through their purchase and sale.Nabli and Yamata then discuss potential new investments in the energy sector. They review Brent crude oil futures data, which are presented in Exhibit 1.
| Exhibit 1 | Selected Data on Brent Crude Oil Futures |
| Near-Term Futures | Longer-Term Futures |
| Spot Price | Price | Price |
| 77.56 | 73.64 | 73.59 |


Yamata presents his research related to the energy sector, which has the following conclusions:■ Consumers have been more concerned about prices than producers have.■ Energy is consumed on a real-time basis and requires minimal storage.After concluding the discussion of the energy sector, Nabli reviews the performance of NWC's long position in lean hog futures contracts. Nabli notes that the portfolio earned a –12% price return on the lean hog futures position last year and a –24% roll return after the contracts were rolled forward. The position was held with collateral equal to 100% of the position at a risk-free rate of 1.2% per year.Yamata asks Nabli to clarify how the state of the futures market affects roll returns. Nabli responds as follows:Statement 4 Roll returns are generally negative when a futures market is in contango.Statement 5 Roll returns are generally positive when a futures market is in backwardation.As part of their expansion into new markets, NWC is considering changing its benchmark index. Nabli investigates two indexes as a possible replacement. These indexes both use similar weighting and rebalancing schemes. Index A includes con-tracts of commodities typically in contango, whereas Index B includes contracts of commodities typically in backwardation. Nabli asks Yamata how the two indexes perform relative to each other in a market that is trending upward.Because of a substantial decline in drilling activity in the North Sea, Nabli believes the price of Brent crude oil will increase more than that of heavy crude oil. The actual price volatility of Brent crude oil has been lower than its expected volatility, and Nabli expects this trend to continue. Nabli also expects the level of the ICE Brent Index to increase from its current level. Nabli and Yamata discuss how to use swaps to take advantage of Nabli's expectations. The possible positions are (1) a basis swap long on Brent crude oil and short on heavy crude oil, (2) a long volatility swap on Brent crude oil, and (3) a short position in an excess return swap that is based on a fixed level (i.e., the current level) of the ICE Brent Index.
The total return (annualized excluding leverage) on the lean hog futures contract is:
Option A:–37.2%.
Option B:–36.0%.
Option C:–34.8%.

Answer: C