N-CSR

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22312

ACAP Strategic Fund

(Exact name of registrant as specified in charter)

350 Madison Avenue, 9th Floor

New York, New York 10017

(Address of principal executive offices) (Zip code)

SilverBay Capital Management LLC
350 Madison Avenue, 9th Floor

New York, New York 10017

(Name and address of agent for service)

Registrant’s telephone number, including area code: 212-389-8713

Date of fiscal year end: September 30

Date of reporting period: September 30, 2014

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Report to Shareholders.

The Report to Shareholders is attached herewith.

ACAP STRATEGIC FUND

350 Madison Avenue, 9th Floor
New York, New York 10017

November 28, 2014

Re: ACAP Strategic Fund (the “Fund”) — Annual Report to Shareholders

Dear Investor:

Please find enclosed the Fund’s Annual Report to Shareholders. We also enclose copies of the Privacy Policy for the Fund and its investment adviser.

Please note that a copy of the Fund’s prospectus may be obtained by contacting your financial advisor.

We appreciate your continued investment and look forward to a long mutually beneficial relationship.

Very truly yours,

ACAP STRATEGIC FUND

Annual Report of

ACAP Strategic Fund

Financial Statements
with Report of Independent Registered Public Accounting Firm

For the Year Ended September 30, 2014

ACAP Strategic Fund

Financial Statements

For the Year Ended September 30, 2014

Contents

Report of Independent Registered Public Accounting Firm	1
Statement of Assets and Liabilities	2
Schedule of Investments	3
Schedule of Securities Sold, Not Yet Purchased	9
Schedule of Swap Contracts	13
Statement of Operations	20
Statement of Changes in Net Assets	21
Notes to Financial Statements	22

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Grant Thornton LLP
757 Third Avenue, 9th Floor
New York, NY 10017
T212.599.0100
F212.370.4520
www.GrantThornton.com

Board of Trustees and Shareholders
ACAP Strategic Fund

We have audited the accompanying statement of assets and liabilities of ACAP Strategic Fund (a Delaware statutory trust) (the “Fund”), including the schedules of investments, securities sold, not yet purchased and swap contracts as of September 30, 2014 and the related statement of operations for the year then ended, the statement of changes in net assets for the year then ended and the period November 1, 2012 through September 30, 2013, and the financial highlights (included in Note 14) for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Company’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of investments as of September 30, 2014 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of ACAP Strategic Fund as of September 30, 2014, and the results of its operations, the changes in its net assets for the year then ended and the period November 1, 2012 to September 30, 2013, and the financial highlights for the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

New York, New York
November 26, 2014

ACAP STRATEGIC FUND
STATEMENT OF ASSETS AND LIABILITIES

	September 30, 2014
Assets
Investments in securities, at fair value (cost $1,408,261,435)		$	1,646,426,500
Cash and cash equivalents (including Euros of $721,880, with a cost of $752,489, British Pounds Sterling of $57,505, with a cost of $53,640, Hong Kong Dollars of $5,465,960, with a cost of $5,472,328, Japanese Yen of $(19,942,068), with a cost of $(20,018,272), and Singapore Dollars of $3,846,983, with a cost of $3,904,813)			156,892,405
Due from brokers (including British Pounds Sterling of $877,530, with a cost of $891,681 and Swedish Krona of $2,396, with a cost of $2,570)			154,875,688
Receivable for investment securities sold			25,697,387
Net unrealized appreciation on total return swaps			3,987,519
Dividends receivable			1,734,205
Interest receivable			210,216
Other assets			61,633
Total assets			1,989,885,553
Liabilities
Securities sold, not yet purchased, at fair value (proceeds $421,540,721 )			430,750,853
Withdrawals payable			54,261,509
Payable for investment securities purchased			16,201,752
Due to broker (including Euros of $1,158,322, with a cost of $1,257,971, Hong Kong Dollars of $2,377,403, with a cost of $2,381,216, and Japanese Yen of $973,192, with a cost of $1,018,950)			15,028,917
Management fees payable			2,528,586
Stock loan fee payable			789,780
Dividends payable on securities sold, not yet purchased			474,688
Shareholders servicing fees payable			316,073
Administration fees payable			298,625
Professional fees payable			174,833
Accrued expenses			160,267
Total liabilities			520,985,883
Net Assets		$	1,468,899,670
Net assets
Represented by:
Shares of beneficial interest - $0.001 par value; unlimited shares authorized; 115,080,053 shares issued and outstanding		$	1,324,210,365
Accumulated net investment gain/(loss)			(145,862,617	)
Accumulated net realized gain/(loss) of investment transactions, foreign currency transactions and total return swaps			57,488,035
Net unrealized gain/(loss) of investments, foreign currency and total return swaps			233,063,887
Net Assets		$	1,468,899,670
Net asset value per share		$	12.76

The accompanying notes are an integral part of these financial statements.

2

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS

Shares		September 30, 2014 Fair Value
	Investments in Securities—112.09%
	Common Stocks—111.29%
	China—10.67%
	E-Commerce / Products—2.44%
189,940	Vipshop Holdings Ltd ADS * (a)		$	35,900,559
	E-Commerce / Services—0.77%
1,133,200	SouFun Holdings Ltd ADR			11,275,340
	Gas–Distribution—1.29%
2,898,000	ENN Energy Holdings Ltd			18,958,983
	Internet Security—1.32%
288,150	Qihoo 360 Technology Co Ltd ADR *			19,441,481
	Web Portals / ISP—4.85%
326,300	Baidu Inc ADR * (a)			71,208,449
	Total China (cost $139,518,712)		$	156,784,812
	Hong Kong—2.67%
	Alternative Waste Technology—2.34%
25,931,000	China Everbright International Ltd			34,329,330
	Casino Hotels—0.33%
841,000	Galaxy Entertainment Group Ltd			4,884,560
	Total Hong Kong (cost $16,983,383)		$	39,213,890
	Japan—17.49%
	Audio / Video Products—3.03%
1,845,000	Sony Corp			33,487,351
614,700	Sony Corp ADR			11,089,188
				44,576,539
	Chemicals–Diversified—4.89%
759,600	Nitto Denko Corp			41,651,798
460,500	Shin-Etsu Chemical Co Ltd			30,091,289
				71,743,087
	Commercial Banks–Non U.S.—0.82%
2,889,807	Sumitomo Mitsui Trust Holdings Inc			12,026,044
	E-Commerce / Products—1.43%
1,823,254	Rakuten Inc			20,992,477
	Electronic Components–Miscellaneous—1.97%
993,800	Alps Electric Co Ltd			17,059,350
871,570	Minebea Co Ltd			11,886,309
				28,945,659
	Finance–Leasing Company—0.94%
1,001,740	ORIX Corp			13,816,789
	Finance–Other Services—2.54%
1,571,758	Japan Exchange Group Inc			37,296,924
	Telephone–Integrated—1.87%
391,900	SoftBank Corp			27,469,977
	Total Japan (cost $239,296,554)		$	256,867,496

The accompanying notes are an integral part of these financial statements.

3

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS (continued)

Shares		September 30, 2014 Fair Value
	Common Stocks (continued)
	Netherlands—0.53%
	Metal–Diversified—0.53%
314,280	Constellium NV, Class A *		$	7,734,431
	Total Netherlands (cost $9,985,894)		$	7,734,431
	United Kingdom—1.54%
	Diversified Manufacturing Operations—1.54%
346,610	Pentair PLC (a)			22,699,489
	Total United Kingdom (cost $24,758,969)		$	22,699,489
	United States—78.39%
	Apparel Manufacturers—1.51%
286,590	Carter’s Inc (a)			22,216,457
	Applications Software—0.60%
151,010	ServiceNow Inc * (a)			8,876,368
	Auction House / Art Dealer—0.26%
105,420	Sotheby’s			3,765,602
	Auto / Truck Parts & Equipment—1.00%
150,730	Visteon Corp * (a)			14,658,493
	Cable / Satellite Television—3.46%
944,330	Comcast Corp, Class A			50,786,067
	Commercial Services–Finance—4.10%
74,930	Alliance Data Systems Corp * (a)			18,602,871
562,310	MasterCard Inc, Class A (a)			41,565,955
				60,168,826
	Computer Aided Design—1.01%
393,390	Aspen Technology Inc * (a)			14,838,671
	Computer Data Security—0.42%
230,791	Qualys Inc *			6,139,041
	Computers—3.01%
438,830	Apple Inc (a)			44,212,123
	Computers–Memory Devices—0.38%
243,130	Spansion Inc, Class A * (a)			5,540,933
	Consulting Services—1.59%
382,800	Verisk Analytics Inc, Class A * (a)			23,308,692
	E-Commerce / Products—1.67%
75,920	Amazon.com Inc * (a)			24,479,645
	E-Commerce / Services—3.98%
159,470	Coupons.com Inc *			1,907,261
1,137,400	Groupon Inc *			7,597,832
536,920	TripAdvisor Inc * (a)			49,085,226
				58,590,319

The accompanying notes are an integral part of these financial statements.

4

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS (continued)

Shares		September 30, 2014 Fair Value
	Common Stocks (continued)
	United States (continued)
	Electronic Components–Semiconductors—2.30%
97,100	OmniVision Technologies Inc * (a)		$	2,569,266
738,240	Xilinx Inc (a)			31,264,464
				33,833,730
	Electronic Design Automation—1.56%
576,440	Synopsys Inc * (a)			22,881,786
	Enterprise Software / Services—0.92%
306,230	Guidewire Software Inc *			13,578,238
	Finance–Credit Card—1.68%
52,310	American Express Co			4,579,217
94,350	Visa Inc, Class A (a)			20,131,460
				24,710,677
	Finance–Other Services—3.91%
294,340	Intercontinental Exchange Group Inc			57,411,017
	Internet Content–Entertainment—1.97%
197,370	Facebook Inc, Class A *			15,600,125
551,010	Pandora Media Inc. *			13,312,402
				28,912,527
	Investment Management / Advisory Services—1.72%
126,150	Affiliated Managers Group Inc * (a)			25,275,414
	Medical–Biomedical / Genetics—10.53%
264,040	Alexion Pharmaceuticals Inc * (a)			43,783,113
412,720	BioMarin Pharmaceuticals Inc * (a)			29,781,875
564,090	Celgene Corp *			53,464,450
258,940	Gilead Sciences Inc *			27,564,163
				154,593,601
	Medical–Drugs—0.62%
370,640	ACADIA Pharmaceuticals Inc * (a)			9,177,046
	Medical–Outpatient / Home Medical—2.04%
910,774	Premier Inc, Class A * (a)			29,928,034
	Medical–Wholesale Drug Distribution—2.95%
560,510	AmerisourceBergen Corp (a)			43,327,423
	Multimedia—2.97%
1,310,930	Twenty-First Century Fox Inc, Class B (a)			43,667,078
	Office Automation & Equipment—0.86%
504,540	Pitney Bowes Inc			12,608,455
	Publishing–Newspapers—2.31%
2,103,305	News Corp, Class B * (a)			33,926,310
	Retail–Consumer Electronics—0.99%
432,920	Best Buy Co Inc			14,541,783

The accompanying notes are an integral part of these financial statements.

5

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS (continued)

Shares		September 30, 2014 Fair Value
	Common Stocks (continued)
	United States (continued)
	Retail–Discount—5.19%
304,770	Costco Wholesale Corp (a)		$	38,193,776
167,000	Dollar General Corp *			10,205,370
497,300	Dollar Tree Inc * (a)			27,883,611
				76,282,757
	Retail–Home Furnishings—0.79%
145,970	Restoration Hardware Holdings Inc *			11,611,914
	Retail–Major Department Stores—1.77%
379,760	Nordstrom Inc (a)			25,964,191
	Retail–Miscellaneous / Diversified—0.15%
100,560	Container Store Group Inc *			2,189,191
	Retail–Restaurants—1.04%
202,780	Starbucks Corp (a)			15,301,779
	Retail–Sporting Goods—0.55%
136,160	Cabela’s Inc * (a)			8,019,824
	Semiconductor Components–Integrated Circuits—0.80%
390,580	Maxim Integrated Products Inc			11,811,139
	Semiconductor Equipment—3.16%
405,760	Lam Research Corp			30,310,272
834,760	Teradyne Inc (a)			16,185,996
				46,496,268
	Television—2.74%
751,340	CBS Corp, Class B (a)			40,196,690
	Transport–Rail—1.88%
227,730	Kansas City Southern			27,600,876
	Total United States (cost $965,807,406)		$	1,151,428,985
	Total Common Stock (cost $1,396,350,918)		$	1,634,729,103
Par
	Convertible Bond—0.80%
	United States—0.80%
	Internet Content–Entertainment—0.80%
11,959,000	Twitter Inc, 1.00% due 09/15/2021			11,697,397
	Total United States (cost $11,910,517)		$	11,697,397
	Total Convertible Bond (cost $11,910,517)		$	11,697,397
	Total Investments in Securities (cost $1,408,261,435) †		$	1,646,426,500
	Other Liabilities in Excess of Assets–(12.09%) **		$	(177,526,830	)
	Net Assets–100.00%		$	1,468,899,670

(a)	Partially or wholly held in a pledged account by the Custodian as collateral for securities sold, not yet purchased.
*	Non-income producing security.

The accompanying notes are an integral part of these financial statements.

6

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS (continued)

**	Includes $65,953,251 invested in a BNY Mellon Money Market Account, which is 4.49% of net assets.
ADR	American Depositary Receipt
ADS	American Depositary Shares
†	Aggregate cost for federal income tax purposes is $1,423,299,394. The aggregate gross unrealized gain/(loss) for federal income tax purposes for all portfolio investments is as follows:

Excess of value of cost	$	274,140,131
Excess of cost of value		(51,013,025	)
	$	223,127,106

The accompanying notes are an integral part of these financial statements.

7

ACAP STRATEGIC FUND
SCHEDULE OF INVESTMENTS (concluded)

Investments in Securities – By Industry	September 30, 2014 Percentage of Net Assets (%)
Alternative Waste Technology		2.34
Apparel Manufacturers		1.51
Applications Software		0.60
Audio / Video Products		3.03
Auction House / Art Dealer		0.26
Auto / Trucks Parts & Equipment		1.00
Cable / Satellite Television		3.46
Casino Hotels		0.33
Chemicals – Diversified		4.89
Commercial Banks – Non U.S.		0.82
Commercial Services – Finance		4.10
Computer Aided Design		1.01
Computer Data Security		0.42
Computers		3.01
Computer – Memory Devices		0.38
Consulting Services		1.59
Diversified Manufacturing Operations		1.54
E-Commerce / Products		5.54
E-Commerce / Services		4.75
Electronic Components – Miscellaneous		1.97
Electronic Components – Semiconductors		2.30
Electronic Design Automation		1.56
Enterprise Software / Services		0.92
Finance – Credit Card		1.68
Finance – Leasing Company		0.94
Finance – Other Services		6.45
Gas – Distribution		1.29
Internet Content – Entertainment		2.77
Internet Security		1.32
Investment Management / Advisory Services		1.72
Medical – Biomedical / Genetics		10.53
Medical – Drugs		0.62
Medical – Outpatient / Home Medical		2.04
Medical – Wholesale Drug Distribution		2.95
Metal – Diversified		0.53
Multimedia		2.97
Office Automation & Equipment		0.86
Publishing – Newspapers		2.31
Retail – Consumer Electronics		0.99
Retail – Discount		5.19
Retail – Home Furnishings		0.79
Retail – Major Department Stores		1.77
Retail – Miscellaneous / Diversified		0.15
Retail – Restaurants		1.04
Retail – Sporting Goods		0.55
Semiconductor Components – Integrated Circuits		0.80
Semiconductor Equipment		3.16
Telephone – Integrated		1.87
Television		2.74
Transport – Rail		1.88
Web Portals / ISP		4.85
Total Investments in Securities		112.09	%

The accompanying notes are an integral part of these financial statements.

8

ACAP STRATEGIC FUND
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED

Shares		September 30, 2014 Fair Value
	Securities Sold, Not Yet Purchased—29.32%
	Common Stock—29.32%
	Canada—0.72%
	Computers–Integrated Systems—0.72%
313,859	CGI Group Inc, Class A		$	10,627,198
	Total Canada (proceeds $9,449,879)		$	10,627,198
	China—2.45%
	Computers—1.08%
10,656,000	Lenovo Group Ltd			15,863,718
	Electric–Generation—0.13%
1,796,000	Huaneng Power International Inc, Class H			1,961,350
	Electronic Components–Miscellaneous—0.81%
2,060,777	AAC Technologies Holdings Inc			11,969,072
	Metal–Aluminum—0.03%
49,900	Aluminum Corp of China Ltd ADR			504,489
	Metal Processors & Fabrication—0.15%
4,484,000	China Zhongwang Holdings Ltd			2,228,978
	Real Estate Operations / Development—0.25%
3,689,200	Guangzhou R&F Properties Co Ltd, Class H			3,729,536
	Total China (proceeds $29,865,675)		$	36,257,143
	Hong Kong—1.68%
	Distribution / Wholesale—0.82%
10,574,000	Li & Fung Ltd			12,010,493
	Electric–Integrated—0.86%
1,564,500	CLP Holdings Ltd			12,562,179
	Total Hong Kong (proceeds $27,196,653)		$	24,572,672
	India—1.06%
	Computer Services—1.06%
255,800	Infosys Ltd ADR			15,473,342
	Total India (proceeds $13,758,717)		$	15,473,342
	Ireland—0.45%
	Computers–Memory Devices—0.45%
116,100	Seagate Technology PLC			6,649,047
	Total Ireland (proceeds $6,568,014)		$	6,649,047
	Japan—2.47%
	Building Products–Doors and Windows—0.33%
888,000	Asahi Glass Co Ltd			4,813,390
	Chemicals–Diversified—0.47%
590,172	Kuraray Co Ltd			6,918,831
	Computers–Integrated Systems–0.13%
304,000	Fujitsu Ltd			1,870,641

The accompanying notes are an integral part of these financial statements.

9

ACAP STRATEGIC FUND
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (continued)

Shares		September 30, 2014 Fair Value
	Common Stocks (continued)
	Japan (continued)
	Electronic Components–Semiconductors—0.12%
28,700	Rohm Co Ltd		$	1,805,278
	Office Automation & Equipment—1.42%
641,800	Canon Inc			20,890,167
	Total Japan (proceeds $37,294,273)		$	36,298,307
	South Korea—0.30%
	Electronic Components–Miscellaneous—0.30%
278,100	LG Display Co Ltd ADR			4,380,075
	Total South Korea (proceeds $4,455,247)		$	4,380,075
	Switzerland—0.35%
	Computers–Peripheral Equipment—0.35%
397,800	Logitech International SA			5,099,796
	Total Switzerland (proceeds $5,078,515)		$	5,099,796
	Taiwan—0.78%
	Electronic Components–Miscellaneous—0.25%
896,100	AU Optronics Corp ADR			3,727,776
	Semiconductor Components–Integrated Circuits—0.53%
602,700	Siliconware Precision Industries Co ADR			4,110,414
1,830,500	United Microelectronics Corp ADR			3,642,695
				7,753,109
	Total Taiwan (proceeds $11,510,862)		$	11,480,885
	United States—19.06%
	Beverages–Non-alcoholic—0.62%
214,500	Coca-Cola Co			9,150,570
	Commercial Services–Finance—0.57%
522,600	Western Union Co			8,382,504
	Computer Services—0.99%
76,400	International Business Machines Corp			14,503,012
	Electric–Integrated—3.48%
369,330	Hawaiian Electric Industries Inc			9,805,712
199,630	Pinnacle West Capital Corp			10,907,783
392,310	Public Service Enterprise Group Inc			14,609,624
364,350	Southern Co			15,903,878
				51,226,997
	Electronic Components–Semiconductors—2.36%
461,090	Cree Inc			18,881,636
452,950	Intel Corp			15,771,719
				34,653,355

The accompanying notes are an integral part of these financial statements.

10

ACAP STRATEGIC FUND
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (continued)

Shares		September 30, 2014 Fair Value
	Common Stocks (continued)
	United States (continued)
	Food–Miscellaneous / Diversified—1.36%
229,650	General Mills Inc		$	11,585,843
136,580	Kellogg Co			8,413,327
				19,999,170
	Recreational Centers—0.83%
241,010	Life Time Fitness Inc			12,156,544
	REITS–Diversified—0.66%
95,930	Vornado Realty Trust			9,589,163
	REITS–Office Property—0.71%
216,280	Mack-Cali Realty Corp			4,133,111
356,790	Piedmont Office Realty Trust Inc, Class A			6,293,776
				10,426,887
	REITS–Regional Malls—1.10%
98,680	Simon Property Group Inc			16,224,966
	Retail–Apparel / Shoes—0.43%
138,298	Buckle Inc			6,277,346
	Retail–Bedding—0.96%
212,870	Bed Bath & Beyond Inc			14,013,232
	Retail–Pet Food & Supplies—0.69%
145,040	PetSmart Inc			10,165,854
	Retail–Regional Department Stores—0.48%
121,460	Macy’s Inc			7,066,543
	Sector Fund–Real Estate—0.29%
62,020	iShares US Real Estate ETF			4,291,784
	Sector Fund–Utility—0.09%
30,840	Utilities Select Sector SPDR Fund ETF			1,298,056
	Security Services—1.22%
503,520	ADT Corp			17,854,819
	Telecommunication Equipment–Fiber Optics—0.91%
693,290	Corning Inc			13,408,229
	Telephone–Integrated—0.83%
347,430	AT&T Inc			12,243,433
	Toys—0.48%
227,730	Mattel Inc			6,979,924
	Total United States (proceeds $276,362,886)		$	279,912,388
	Total Common Stock (proceeds $421,540,721)		$	430,750,853
	Total Securities Sold, Not Yet Purchased (proceeds $421,540,721)		$	430,750,853

ETF Exchange Traded Fund

The accompanying notes are an integral part of these financial statements.

11

ACAP STRATEGIC FUND
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (concluded)

Securities Sold, Not Yet Purchased – By Industry	September 30, 2014 Percentage of Net Assets (%)
Beverages – Non-alcoholic		0.62
Building Products – Doors and Windows		0.33
Chemicals – Diversified		0.47
Commercial Services – Finance		0.57
Computers		1.08
Computers – Integrated Systems		0.85
Computers – Memory Devices		0.45
Computers – Peripheral Equipment		0.35
Computer Services		2.05
Distribution / Wholesale		0.82
Electric – Generation		0.13
Electric – Integrated		4.34
Electronic Components – Miscellaneous		1.36
Electronic Components – Semiconductors		2.48
Food – Miscellaneous / Diversified		1.36
Metal – Aluminum		0.03
Metal Processors & Fabrication		0.15
Office Automation & Equipment		1.42
Real Estate Operations / Development		0.25
Recreational Centers		0.83
REITS – Diversified		0.66
REITS – Office Property		0.71
REITS – Regional Malls		1.10
Retail – Apparel / Shoes		0.43
Retail – Bedding		0.96
Retail – Pet Food & Supplies		0.69
Retail – Regional Department		0.48
Sector Fund – Real Estate		0.29
Sector Fund – Utility		0.09
Security Services		1.22
Semiconductor Components – Integrated Circuits		0.53
Telecommunication Equipment – Fiber Optics		0.91
Telephone – Integrated		0.83
Toys		0.48
Total Securities Sold, Not Yet Purchased		29.32	%

The accompanying notes are an integral part of these financial statements.

12

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS

Notional Amount				Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
				Swap Contracts—0.27%
				Total Return Swap Contracts—0.27%
				Audio / Video Products—0.02%
	$	(13,961,899	)	3/3/2016	Sharp Corp		$	319,184
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Sharp Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 1.55%.
				Computers—(0.02%)
		(13,046,206	)	3/3/2016	Asustek Computer Inc			(44,084	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Asustek Computer Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 1.00%.
		(9,239,203	)	3/3/2016	Quanta Computer Inc			(187,048	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Quanta Computer Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.99%.
								(231,132	)
				Computers–Peripheral Equipment—0.00%
		(10,770,762	)	3/3/2016	Innolux Display Corp.			37,058
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Innolux Display Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 2.19%.
				Electric Products–Miscellaneous—0.13%
		(12,972,945	)	3/3/2016	LG Electronics Inc			673,642
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of LG Electronics Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 1.17%.
		(13,399,360	)	3/3/2016	LG Innotek Co Ltd			1,291,353
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of LG Innotek Co Ltd in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 3.90%.
								1,964,995

The accompanying notes are an integral part of these financial statements.

13

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (continued)

Notional Amount				Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
				Total Return Swap Contracts (continued)
				Electronic Components–Miscellaneous—0.08%
	$	(9,615,995	)	3/3/2016	AU Optronics Corp		$	287,911
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of AU Optronics Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 1.22%.
		(18,731,555	)	3/3/2016	Hon Hai Precision Industry Co Ltd			813,806
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Hon Hai Precision Industry Co Ltd in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(7,028,425	)	3/3/2016	NEC Corporation			(140,952	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of NEC Corporation in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(6,914,954	)	3/3/2016	Nippon Electric Glass Co Ltd			195,559
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Nippon Electric Glass Co Ltd. in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
								1,156,324
				Electronic Components–Semiconductors—(0.01%)
		26,864,516		3/3/2016	Samsung Electronics Co Ltd			335,035
					Agreement with Morgan Stanley, dated 03/01/2010 to receive the total return of the shares of Samsung Electronics Co Ltd in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.90%.
		(13,547,007	)	3/3/2016	SK Hynix Inc			(486,539	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of SK Hynix Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
								(151,504	)
				Finance–Investment Banker / Broker—0.00%
		(1,518,901	)	3/3/2016	Bolsas y Mercados Espanoles SA			35,810
					Agreement with Morgan Stanley, dated 03/01/2012 to deliver the total return of the shares of Bolsas y Mercados Espanoles SA in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 4.00%.

The accompanying notes are an integral part of these financial statements.

14

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (continued)

Notional Amount				Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
				Total Return Swap Contracts (continued)
				Food–Retail—0.08%
	$	(7,275,609	)	3/3/2016	Delhaize Group SA		$	(7,359	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Delhaize Group SA in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(1,867,633	)	3/3/2016	Distribuidora Internacional de Alimentacion SA			14,457
					Agreement with Morgan Stanley, dated 01/01/2012 to deliver the total return of the shares of Distribuidora Internacional de Alimentacion SA in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(14,774,767	)	3/3/2016	Koninklijke Ahold NV			238,668
					Agreement with Morgan Stanley, dated 01/01/2012 to deliver the total return of the shares of Koninklijke Ahold NV in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(8,054,387	)	12/11/2014	Sainsbury PLC			201,092
					Agreement with Morgan Stanley, dated 12/08/2012 to deliver the total return of the shares of Sainsbury PLC in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(11,542,563	)	12/11/2014	Tesco PLC			439,669
					Agreement with Morgan Stanley, dated 12/08/2012 to deliver the total return of the shares of Tesco PLC in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
		(6,437,969	)	12/11/2014	WM Morrison Supermarkets PLC			231,035
					Agreement with Morgan Stanley, dated 12/08/2012 to deliver the total return of the shares of WM Morrison Supermarkets PLC in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
								1,117,562
				Hotels & Motels—0.00%
		33,932,268		12/11/2014	Whitbread PLC			(20,036	)
					Agreement with Morgan Stanley, dated 12/08/2012 to receive the total return of the shares of Whitbread PLC in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.65%.

The accompanying notes are an integral part of these financial statements.

15

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (continued)

Notional Amount				Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
				Total Return Swap Contracts (continued)
				Metal Processors & Fabrication—(0.01%)
	$	(4,689,005	)	3/3/2016	Catcher Technology Co Ltd		$	(187,770	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Catcher Technology Co Ltd in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 4.54%.
				Photo Equipment & Supplies—0.00%
		(3,804,815	)	3/3/2016	Largan Precision Co Ltd			(112,458	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Largan Precision Co Ltd in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 1.50%.
		(11,680,166	)	3/3/2016	Nikon Corp			178,861
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Nikon Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
								66,403
				Private Equity—0.00%
		11,357,177		3/3/2016	Blackstone Group LP			(51,222	)
					Agreement with Morgan Stanley, dated 03/01/2012 to receive the total return of the shares of Blackstone Group LP in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.90%.
				Publishing–Periodicals—0.00%
		(1,347,301	)	12/11/2014	UBM PLC			(13,958	)
					Agreement with Morgan Stanley, dated 12/08/2012 to deliver the total return of the shares of UBM PLC in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.40%.
				Retail–Discount—0.01%
		4,233,800		12/11/2014	B&M European Value Retail SA			134,942
					Agreement with Morgan Stanley, dated 12/08/2012 to receive the total return of the shares of B&M European Value Retail SA in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.65%.
		7,265,561		12/11/2014	Poundland Group PLC			(22,673	)
					Agreement with Morgan Stanley, dated 12/08/2012 to receive the total return of the shares of Poundland Group PLC in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.65%.
								112,269

The accompanying notes are an integral part of these financial statements.

16

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (continued)

Notional Amount				Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
				Total Return Swap Contracts (continued)
				Retail–Restaurants—0.00%
	$	4,788,829		3/3/2016	Gourmet Master Co Ltd		$	(27,357	)
					Agreement with Morgan Stanley, dated 03/01/2010 to receive the total return of the shares of Gourmet Master Co Ltd in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 1.25%.
				Semiconductor Components–Integrated Circuits—(0.01%)
		(7,915,273	)	3/3/2016	Novatek Microelectronics Corp			(107,069	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Novatek Microelectronics Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 3.83%.
		(8,479,678	)	3/3/2016	Powertech Technology Inc			150,093
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Powertech Technology Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 2.50%.
		56,772,561		3/3/2016	QUALCOMM Inc			(32,910	)
					Agreement with Morgan Stanley, dated 03/01/2012 to receive the total return of the shares of QUALCOMM Inc in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.45%.
		(5,713,546	)	3/3/2016	Realtek Semiconductor Corp			(217,031	)
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Realtek Semiconductor Corp in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 2.50%.
		(3,233,152	)	3/3/2016	Siliconware Precision Industries Co			26,856
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of Siliconware Precision Industries Co in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.81%.
		(3,622,350	)	3/3/2016	United Microelectronics Corp			41,398
					Agreement with Morgan Stanley, dated 03/01/2010 to deliver the total return of the shares of United Microelectronics Inc in exchange for an amount to be received monthly equal to the Daily Fed Funds Effective Rate less 0.50%.
								(138,663	)

The accompanying notes are an integral part of these financial statements.

17

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (continued)

Notional Amount			Maturity Date		September 30, 2014 Unrealized Gain/(Loss)
			Total Return Swap Contracts (continued)
			Television—(0.01%)
	$	9,828,225	12/11/2014	ITV PLC		$	(111,518	)
				Agreement with Morgan Stanley, dated 12/08/2012 to receive the total return of the shares of ITV PLC in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.65%.
		6,527,656	3/3/2016	Nippon Television Holdings Inc			(50,686	)
				Agreement with Morgan Stanley, dated 03/01/2010 to receive the total return of the shares of Nippon Television Holdings Inc in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.60%.
							(162,204	)
			Web Portals / ISP—0.01%
		30,210,605	3/3/2016	Google Inc, Class A			161,760
				Agreement with Morgan Stanley, dated 03/01/2012 to receive the total return of the shares of Google Inc, Class A in exchange for an amount to be paid monthly equal to the Daily Fed Funds Effective Rate plus 0.45%.
			Total Swap Contracts			$	3,987,519

The accompanying notes are an integral part of these financial statements.

18

ACAP STRATEGIC FUND
SCHEDULE OF SWAP CONTRACTS (concluded)

Swap Contracts – By Industry	September 30, 2014 Percentage of Net Assets (%)
Audio / Video Products		0.02
Computers		(0.02	)
Computers – Peripheral Equipment		0.00
Electric Products – Miscellaneous		0.13
Electronic Components – Miscellaneous		0.08
Electronic Components – Semiconductors		(0.01	)
Finance – Investment Banker / Broker		0.00
Food – Retail		0.08
Hotels & Motels		0.00
Metal Processors & Fabrication		(0.01	)
Photo Equipment & Supplies		0.00
Private Equity		0.00
Publishing – Periodicals		0.00
Retail – Discount		0.01
Retail – Restaurants		0.00
Semiconductor Components – Integrated Circuits		(0.01	)
Television		(0.01	)
Web Portals / ISP		0.01
Total Swap Contracts		0.27	%

The accompanying notes are an integral part of these financial statements.

19

ACAP STRATEGIC FUND
STATEMENT OF OPERATIONS

	For the Year Ended September 30, 2014
Investment Income
Dividends (net of foreign withholding tax of $350,653)		$	14,212,761
Interest			1,494,616
Total investment income			15,707,377
Expenses
Management fees			28,163,939
Dividends on securities sold, not yet purchased			10,507,251
Stock loan fees			10,252,850
Shareholder servicing fees			3,513,567
Administration fees			1,127,433
Professional fees			698,855
Transfer agent fees			405,923
Custody fees			299,915
Incentive Fee			286,519
Insurance expense			161,531
Registration fees			106,459
Trustees’ fees			45,000
Interest expense			29,925
Miscellaneous expense			570,176
Total expenses			56,169,343
Net investment loss			(40,461,966	)
Realized and unrealized gain/(loss) from investment activities, foreign currency transactions and total return swaps
Realized gain/(loss) from investment activities, foreign currency transactions and total return swaps
Investment securities			89,043,616
Securities sold, not yet purchased			(59,398,388	)
Foreign currency transactions			37,037
Total return swaps			(3,749,528	)
Net realized gain/(loss) from investment activities, foreign currency transactions and total return swaps			25,932,737
Net change in unrealized gain/(loss) from investment activities and foreign currency transactions			(20,824,817	)
Net change in unrealized gain/(loss) of total return swaps			1,848,245
Net change in unrealized gain/(loss) from investment activities, foreign currency transactions and total return swaps			(18,976,572	)
Net realized and unrealized gain/(loss) from investment activities, foreign currency transactions and total return swaps			6,956,165
Net decrease in net assets resulting from operations		$	(33,505,801	)

The accompanying notes are an integral part of these financial statements.

20

ACAP STRATEGIC FUND
STATEMENT OF CHANGES IN NET ASSETS

	For the Year Ended September 30, 2014				For the Eleven Months Ended September 30, 2013
From operations:
Net investment loss		$	(40,461,966	)		$	(61,506,410	)
Net realized gain/(loss) from investment activities, foreign currency transactions and total return swaps			25,932,737				26,769,046
Net change in unrealized gain/(loss) from investment activities, foreign currency transactions and total return swaps			(18,976,572	)			183,062,628
Net increase/(decrease) in net assets resulting from operations			(33,505,801	)			148,325,264
Distributions to shareholders:
From net realized gain ($0.06473 per share)			(6,239,719	)			—
Net decrease in net assets resulting from distributions to shareholders			(6,239,719	)			—
From transactions in shares:
Net proceeds from sale of shares			507,928,252				384,356,513
Reinvestment of distributions			5,746,559				—
Cost of shares repurchased			(142,378,253	)			(89,914,361	)
Net increase in net assets from transactions in shares			371,296,558				294,442,152
Net increase in net assets			331,551,038				442,767,416
Net assets at beginning of period			1,137,348,632				694,581,216
Net assets at end of period		$	1,468,899,670			$	1,137,348,632
Accumulated Undistributed Net Investment Loss		$	(145,862,617	)		$	(105,400,651	)

The accompanying notes are an integral part of these financial statements.

21

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014

1. Organization

ACAP Strategic Fund (the “Fund”) was organized as a Delaware statutory trust in June 2009. The Fund commenced operations on March 1, 2010. The Fund is registered under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, closed-end management investment company. The Fund operates as an interval fund under Rule 23c-3 of the 1940 Act and, as such, offers to repurchase between 5% – 25% of its outstanding Shares at their net asset value as of or prior to the end of each fiscal quarter. SilverBay Capital Management LLC serves as the investment adviser of the Fund (the “Adviser”). The Adviser is controlled by its managing member, Alkeon Capital Management, LLC (“Alkeon”). Each of the Adviser and Alkeon is registered with the SEC as an investment adviser.

The Fund’s investment objective is to achieve maximum capital appreciation. The Fund pursues this objective by investing its assets primarily in equity securities of U.S. and foreign companies that the Adviser believes are well positioned to benefit from demand for their products or services, including companies that can innovate or grow rapidly relative to their peers in their markets. The Fund also pursues its objective by effecting short sales of securities when the Adviser believes that the market price of a security is above its estimated intrinsic or fundamental value. The Fund may also borrow money for investment purposes, i.e., leverage its assets. The use of short sales and leverage are speculative investment practices and involve a high degree of risk.

The Fund is authorized to issue an unlimited number of Shares of beneficial interest (“Shares”), $0.001 par value. The minimum initial investment in the Fund by an investor is $100,000, subject to reduction at the discretion of an investor’s broker, dealer or other financial intermediary, but not below $50,000. Minimum subsequent investments must be at least $10,000 (in each case, including a sales load if applicable). Investors may be charged a sales load up to a maximum of 3% on the amount they invest. The specific amount of the sales load is not fixed and will be determined by the investor and its broker, dealer or other financial intermediary. Shares may only be purchased through, and with funds drawn on, an investor’s brokerage account with Mainsail Group, L.L.C. (the “Underwriter”) or with brokers or dealers retained by the Underwriter to act as selling agents to assist in the distribution of Shares (“Selling Agents”). Shares of the Fund may be purchased only by investors who certify to the Fund or its agents that they have a net worth of more than $2,000,000 (excluding the value of the primary residence of such person and any debt secured by such property up to its current market value). As an interval fund, the Fund has adopted a fundamental policy to offer to repurchase at least 5% of its outstanding Shares at their net asset value at regular intervals. Currently, the Fund intends to offer to repurchase 25% of its outstanding Shares as of or prior to the end of each fiscal quarter. However, repurchase offers in excess of 5% of the Fund’s outstanding Shares for any particular fiscal quarter are entirely within the discretion of the Board of Trustees of the Fund (the “Board”) and, as a result, there can be no assurance that the Fund will make repurchase offers for amounts in excess of 5% of the outstanding Shares for any particular fiscal quarter.

On July 15, 2014, the Fund filed a request with the SEC for an exemptive order that would allow the Fund to issue additional classes of shares. If the requested order is issued, the Fund currently anticipates offering Class W shares which would be offered to investors whose investment in the Fund is made through an asset-based fee program sponsored by a registered broker-dealer or its affiliated investment adviser (also known as a “wrap fee” program) and whose financial advisor recommends their investment in the Fund. At that time, existing shares of the Fund would be designated Class A shares. Class W shares are currently not expected to be subject to any front-end sales load or ongoing distribution/service fee.

The Board has overall responsibility for the management and supervision of the operations of the Fund. The Board has delegated responsibility for management of the Fund’s day-to-day operations to the Adviser. The Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation. The persons comprising the Board (the “Trustees”) are not required to invest in the Fund or to own Shares. A majority of the Trustees are persons who are not “interested persons” (as defined

22

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

1. Organization (continued)

in the 1940 Act) of the Fund (the “Independent Trustees”). The Independent Trustees perform the same functions for the Fund as are customarily exercised by the non-interested directors of a registered investment company organized as a corporation.

2. Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires (hereafter referred to as “authoritative guidance”) the Adviser to make estimates
and assumptions in determining the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. The Adviser believes that the estimates utilized in preparing the Fund’s financial statements are reasonable and prudent; however, actual results could differ from these estimates.

In June 2013, the FASB issued ASU No. 2013-08, Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU 2013-08 changes the approach to the assessment of whether a company is an investment company, clarifies the characteristics of an investment company, provides comprehensive guidance for the investment company assessment and contains certain disclosure requirements. ASU 2013-08 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. Earlier application is prohibited. We do not believe the adoption of ASU 2013-08 will have a material impact on our financial statements.

The following is a summary of the significant accounting policies of the Fund:

a. Revenue Recognition

Securities transactions, including related revenue and expenses, are recorded on a trade date basis. Realized gains and losses from investment transactions are calculated utilizing the high cost method. Dividends are recorded on the ex-dividend date, net of foreign withholding tax. Interest income and expense are recorded on the accrual basis.

The Fund amortizes premium and accretes discount on bonds using the effective yield method.

b. Portfolio Valuation

The value of the net assets of the Fund is determined on each business day as of the close of regular business of the NYSE in accordance with the procedures set forth below or as may be determined from time to time pursuant to policies established by the Board.

Domestic exchange traded equity securities (other than options) other than those that trade on NASDAQ are valued at their last reported composite sale prices as reported on such exchanges or, in the absence of any reported sale on a particular day, at their composite bid prices (for securities held long) or their composite ask prices (for securities sold short), as reported by such exchanges. Securities traded on NASDAQ are valued: (i) at the NASDAQ Official Closing Price (“NOCP”) (which is the last trade price at or before 4:00 p.m. (EST) adjusted up to NASDAQ’s best offer price if the last trade is below such bid and down to NASDAQ’s best offer price if the last trade is above such offer price); (ii) if no NOCP is available, at the last sale price on NASDAQ prior to the calculation of the Fund’s net asset value; (iii) if no sale is shown on NASDAQ, at the bid price; or (iv) if no sale is shown and no bid price is available for a period of seven business days, the price will be deemed “stale” and the value will be determined at fair value. Securities traded on a foreign securities exchange are valued at their last sale prices on the exchange where the securities are primarily traded, or in the absence of a reported sale on a particular day, at their bid prices (in the case of securities held long) or ask prices (in the case of securities sold short) as reported by that exchange.

23

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

2. Significant Accounting Policies (continued)

b. Portfolio Valuation (continued)

Total return swaps on equity securities are generally valued based upon the price for the reference asset, as determined in the manner specified above.

Other securities for which market quotations are readily available are valued at their bid prices (or ask prices in the case of securities sold short) as obtained from one or more dealers making markets for those securities. If market quotations are not readily available, securities and other assets will be valued at fair value as determined in good faith by the Adviser under the supervision of the Board in accordance with authoritative guidance.

Debt securities (other than convertible securities) are valued in accordance with the procedures described above, which with respect to these securities may include the use of valuations furnished by a pricing service which employs a matrix to determine valuations for normal institutional size trading units. The Adviser monitors the reasonableness of valuations provided by the pricing service.

If in the view of the Adviser, the bid price of a listed option or debt security (or ask price in the case of any such security sold short) does not fairly reflect the market value of the security, the security may be valued at fair value in good faith pursuant to procedures adopted by the Board.

All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars using foreign exchange rates provided by a pricing service compiled as of 4:00 p.m. London time. Trading in foreign securities generally is completed, and the values of foreign securities are determined prior to the close of securities markets in the U.S. Foreign exchange rates are also determined prior to such close. On occasion, the values of foreign securities and exchange rates may be materially affected by events occurring before the Fund calculates its net asset value but after the close of the primary markets or exchanges on which foreign securities are traded. These intervening events might be country-specific (e.g., natural disaster, economic or political developments, interest-rate change), issuer-specific (e.g., earnings report, merger announcement), or U.S. market specific (e.g., a significant movement in the U.S. markets that is deemed to affect the value of foreign securities). When such an event materially affects the values of securities held by the Fund or its liabilities (including foreign securities for which there is a readily available market price), such securities and liabilities may be valued at fair value, taking into account the aforementioned factors, in good faith pursuant to procedures adopted by the Board.

The Fund follows authoritative guidance for fair value measurement. The guidance establishes a framework for measuring fair value and a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—observable market inputs that are unadjusted quoted prices for identical assets or liabilities in active markets.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The Fund recognizes transfers into and out of levels indicated above at the end of the reporting period. There were no such transfers during the year ended September 30, 2014.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities.

24

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

2. Significant Accounting Policies (continued)

b. Portfolio Valuation (continued)

Additional information on the investments can be found in the Schedule of Investments, the Schedule of Securities Sold, Not Yet Purchased and the Schedule of Swap Contracts.

The Financial Accounting Standards Board (“FASB”) issued Codification Accounting Standards Update No. 2011-04, Fair Value Measurement (Topic 820): Amendments to Active Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU 2011-04). ASU 2011-04 expands the qualitative and quantitative fair value disclosure requirements for fair value measurements categorized in Level 3 of the fair value hierarchy and requires a description of the valuation processes in place and a description of the sensitivity of the fair value to changes in unobservable inputs and interrelationships between those inputs if a change in those inputs would result in a significantly different fair value measurement. The adoption of ASU 2011-04 did not have a material impact on the Fund’s financial statements.

The following is a summary of the inputs used, as of September 30, 2014, in valuing the Fund’s investments at fair value.

	Level 1			Level 2			Level 3			Balance September 30, 2014
Assets
Common Stock		$	1,634,729,103		$	—		$	—		$	1,634,729,103
Convertible Bond			—			11,697,397			—			11,697,397
Total Return Swaps			—			3,987,519			—			3,987,519
Total Assets		$	1,634,729,103		$	15,684,916		$	—		$	1,650,414,019
Liabilities
Common Stock		$	430,750,853		$	—		$	—		$	430,750,853

c. Cash and Cash Equivalents

The Fund considers all financial instruments that mature within three months of the date of purchase as cash equivalents. At September 30, 2014, $65,953,251 in cash equivalents were held in a BNY Mellon Money Market Account.

d. Dividends and Distributions

Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with authoritative guidance. To the extent these differences are permanent, such amounts are reclassified within the capital account based on their federal tax basis treatment; temporary differences do not require such reclassification.

e. Income Taxes

Each year the Fund intends to operate in a manner to qualify as, and has elected to be treated as, a regulated investment company under Subchapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. To qualify as a regulated investment company, the Fund must comply with certain requirements relating to, among other things, the sources of its income and diversification of its assets. If the Fund so qualifies and distributes each year to its shareholders at least 90% of its investment company taxable income (generally including ordinary income and net short-term capital gain, but not net capital gain, which is the excess of net long-term capital gain over net short-term capital loss) and meets certain other requirements, it will not be required to pay federal income taxes on any income it distributes to shareholders. The Fund intends to distribute at least the minimum

25

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

2. Significant Accounting Policies (continued)

e. Income Taxes (continued)

amount necessary to satisfy the 90% distribution requirement. The Fund will not be subject to federal income tax on any net capital gain distributed to shareholders.

Foreign securities held by the Fund may be subject to foreign taxation on dividend income received.

The Fund may be subject to a tax imposed on net realized gains on securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these securities in an amount that would be payable if the securities were disposed of on the valuation date. At September 30, 2014, the Fund had no deferred tax liability.

It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required.

f. Due to/from Brokers

Due to/from brokers consists of U.S. dollar cash balances held at the Fund’s prime brokers (Morgan Stanley & Co., Inc. and Credit Suisse Securities (USA) LLC). The Fund is charged interest on cash it borrows at agreed upon rates with its prime brokers. The amount due from broker primarily represents receivables for funds held by the broker which result from proceeds of short sales and cash proceeds from the unwind of swap positions. It is the Fund’s policy to monitor the credit standing of the broker and other financial institutions with which it conducts business.

3. Management Fee

In consideration of management services provided by the Adviser and for services provided by the Adviser or an affiliate for certain administrative services, the Fund pays the Adviser a monthly management fee computed at the annual rate of 2.00% of the Fund’s average daily net assets (the “Management Fee”), which is due and payable in arrears within five business days after the end of each month. This fee is accrued daily as an expense to be paid out of the Fund’s assets and has the effect of reducing the net asset value of the Fund. During the year ended September 30, 2014, Management Fees totaled $28,163,939, of which $2,528,586 remained payable to the Adviser at the end of the reporting period and is included on the Statement of Assets and Liabilities.

4. Incentive Fee

The Fund also pays the Adviser a performance-based incentive fee (the “Incentive Fee”). The Incentive Fee is determined as of the end of the fiscal year in an amount equal to 20% of the amount by which the Fund’s net profits for all Fiscal Periods (defined below) exceed the balance of the loss carryforward account (described below), without duplication for any Incentive Fees paid during such fiscal year. The Fund also pays the Adviser the Incentive Fee in the event a Fiscal Period is triggered in connection with a Share repurchase offer by the Fund.

For purposes of calculating the Incentive Fee, net profits means the amount by which: (a) the net assets of the Fund as of the end of a Fiscal Period, increased by the dollar amount of Shares repurchased during the Fiscal Period (excluding Shares to be repurchased as of the last day of the Fiscal Period after determination of the Incentive Fee) and by the amount of dividends and other distributions paid to shareholders during the Fiscal period and not reinvested in additional Shares (excluding any dividends and other distributions to be paid as of the last day of the Fiscal Period), exceeds (b) the net assets of the Fund as of the beginning of the Fiscal Period, increased by the dollar amount of Shares issued during the Fiscal Period (excluding any Shares issued in connection with the reinvestment of dividends and other distributions paid by the Fund).

26

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

4. Incentive Fee (continued)

Net assets means the total value of all assets of the Fund, less an amount equal to all accrued debts, liabilities and obligations of the Fund, determined in accordance with the valuation and accounting policies and procedures of the Fund.

Fiscal Period means each period ending on the Fund’s fiscal year-end, provided that whenever the Fund conducts a Share repurchase offer, the period of time from the last Fiscal Period-end through the effective date of the repurchase offer also constitutes a Fiscal Period.

The Incentive Fee is payable for a Fiscal Period only if there is no positive balance in the Fund’s loss carryforward account. The loss carryforward account is an account that is credited as of the end of each Fiscal Period with the amount of any net loss of the Fund for that Fiscal Period and will be debited (but
not below zero) with the amount of any net profits of the Fund for that Fiscal Period. This is sometimes known as a “high water mark.” The loss carryforward account is also reduced by: (i) the payment by the Fund of any dividend or other distribution to Shareholders (unless the full amount thereof is reinvested in Shares of the Fund); and (ii) any repurchase by the Fund of its Shares.

During the year ended September 30, 2014, earned incentive amounted to $286,519, all of which was paid during the reporting period.

5. Shareholder Servicing Fee

Under the terms of the distribution agreement with the Fund, the Fund pays ongoing shareholder servicing fees to the Underwriter to compensate it for providing, or arranging for the provision of, ongoing investor services and account maintenance services to investors in the Fund. The Underwriter may retain all or a portion of these payments. These fees are accrued daily and paid monthly in an amount not to exceed, in the aggregate, 0.25% (on an annualized basis) of the net asset value of the Fund.

During the year ended September 30, 2014, Shareholder Servicing Fees amounted to $3,513,567. At September 30, 2014, $316,073 remained payable and is included in the accompanying Statement of Assets and Liabilities.

6. Administration Fee, Related Party and Other

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as the Fund’s administrator and provides various administration, fund accounting, investor accounting and taxation services to the Fund. BNY Mellon also provides transfer agency services to the Fund. In consideration of the administration and accounting services, the Fund pays BNY Mellon a monthly asset-based fee which is not anticipated to exceed .08% of the Fund’s average net assets. The Fund also reimburses BNY Mellon for certain out-of-pocket expenses.

The Bank of New York Mellon (the “Custodian”) serves as the primary custodian of the Fund’s assets, and may maintain custody of the Fund’s assets with domestic and foreign sub-custodians (which may be banks, trust companies, securities depositories and clearing agencies), approved by the Board in accordance with the requirements set forth in Section 17(f) of the 1940 Act and the rules adopted thereunder. Assets of the Fund are not held by the Adviser or commingled with the assets of other accounts other than to the extent that securities are held in the name of a custodian in a securities depository, clearing agency or omnibus customer account of a custodian.

Mainsail Group, L.L.C. (previously defined as the “Underwriter”), an underwriter under the federal securities laws, serves as underwriter of the Fund’s Shares on a best efforts basis. Pursuant to the terms of the underwriter’s distribution agreement with the Fund, the Underwriter may retain unaffiliated brokers or dealers (i.e. “Selling Agents”) to assist in the distribution of Shares. For the year ended September 30, 2014, the Underwriter did not receive compensation from the Fund.

27

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

6. Administration Fee, Related Party and Other (continued)

Each Independent Trustee receives an annual retainer of $15,000 plus reimbursement of reasonable out of pocket expenses. Trustees who are “interested persons” do not receive any annual or other fee from the Fund. Trustees who are “interested persons” are reimbursed by the Fund for all reasonable out-of- pocket expenses incurred in performing their duties. The Officers of the Fund serve without compensation.

7. Indemnifications and Financial Guarantees

The Fund has entered into several contracts that contain routine indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund has had no claims or payments pursuant to these or prior agreements, and the Fund believes the likelihood of a claim being made is remote.

8. Securities Transactions

Aggregate purchases and sales of investment securities for the year ended September 30, 2014, amounted to $2,025,731,239 and $1,826,285,001, respectively. Aggregate proceeds received and paid for securities sold, not yet purchased for the year ended September 30, 2014, amounted to $855,383,977 and $891,999,768, respectively.

9. Borrowings

The Fund is authorized to borrow money for investment purposes, to meet repurchase requests and for liquidity purposes. Borrowings by the Fund (which do not include securities sold, not yet purchased and derivative transactions), subject to limitations of the 1940 Act, will not exceed 33¹/₃ percent of the Fund’s total assets. Purchasing equity securities on margin involves an initial cash requirement representing at least 50% of the underlying security’s value with respect to transactions in U.S. markets and varying (typically lower) percentages with respect to transactions in foreign markets. Borrowings to purchase equity securities typically will be secured by the pledge of those securities. Borrowing for investment purposes (a practice known as “leverage”) is a speculative investment practice and involves certain risks.

Although leverage can increase investment returns if the Fund earns a greater return on the investments purchased with borrowed funds than it pays for the use of those funds, the use of leverage will decrease investment returns if the Fund fails to earn as much on investments purchased with borrowed funds as it pays for the use of those funds. The use of leverage will therefore magnify the impact of changes in the value of investments held by the Fund on the Fund’s net asset value and thus can increase the volatility of the Fund’s net asset value per Share. The Adviser expects that the Fund’s investment program will make frequent use of leverage.

For the year ended September 30, 2014, the average daily amount of such borrowings was $2,387,312 and the daily weighted average annualized interest rate was 1.25%.

28

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

10. Transactions in Shares

Transactions in Shares were as follows:

	For the Year Ended September 30, 2014 Shares
Shares at the beginning of the period		87,074,958
Shares sold		38,553,809
Shares reinvested		415,514
Shares repurchased		(10,964,228	)
Net increase (decrease)		28,005,095
Shares at the end of the period		115,080,053

As of September 30, 2014, the Investment Adviser and its affiliates own 10,203.315 shares of the Fund.

11. Principal and Non-Principal Fund Investment Practices and Their Risks

Although the Fund’s principal investment strategy is to invest primarily in equity securities of U.S. and foreign companies, the Fund may invest its assets in other types of securities and in other asset classes when, in the judgment of the Adviser (subject to any policies established by the Board), such investments present opportunities for the Fund to achieve maximum capital appreciation, taking into account the availability of equity investment opportunities, market conditions, the relative risk/reward analysis of other investments compared to equity securities, and such other considerations as the Adviser deems appropriate.

Authoritative guidance on disclosures about derivative instruments and hedging activities requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The realized gain/(loss) on swap contracts and foreign currency transactions is reflected on the Statement of Operations within these financial statements. The net change in unrealized appreciation/(depreciation) on swap contracts is reflected on the Statement of Operations and Schedule of Swap Contracts within these financial statements. The net change in unrealized appreciation/(depreciation) on foreign currency transactions is reflected on the Statement of Operations within these financial statements as a component of the net change in unrealized appreciation/(depreciation) from investment activities and foreign currency transactions. Option contracts serve as components of the Fund’s investment strategies and are utilized to structure investments to enhance the performance of the Fund.

a. Bonds and Other Fixed-Income Securities

The Fund may invest without limit in high quality fixed-income securities for temporary defensive purposes and to maintain liquidity. For these purposes, “fixed-income securities” are bonds, notes and debentures issued by corporations; debt securities issued or guaranteed by the U.S. Government or one of its agencies or instrumentalities (“U.S. Government Securities”) or by a foreign government; municipal securities; and mortgage-backed and asset-backed securities. These securities may pay fixed, variable or floating rates of interest, and may include zero coupon obligations. Fixed-income securities are subject to the risk of the issuer’s inability to meet principal and interest payments on its obligations (i.e., credit risk) and are subject to price volatility due to such factors as interest rate sensitivity, market perception of the credit worthiness of the issuer and general market liquidity (i.e., market risk).

The Fund may also invest in both investment grade and non-investment grade debt securities. Investment grade debt securities are securities that have received a rating from at least one nationally recognized statistical rating organization (“NRSRO”) in one of the four highest rating categories or, if not rated by any NRSRO, have been determined by the Adviser to be of comparable quality.

29

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

11. Principal and Non-Principal Fund Investment Practices and Their Risks (continued)

Non-investment grade debt securities (typically called “junk bonds”) are securities that have received a rating from an NRSRO of below investment grade or have been given no rating, and are considered by the NRSRO to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal. Non-investment grade debt securities in the lowest rating categories may involve a substantial risk of default or may be in default. Adverse changes in economic conditions or developments regarding the individual issuer are more likely to cause price volatility and weaken the capacity of the issuers of non- investment grade debt securities to make principal and interest payments than is the case for higher grade debt securities. An economic downturn affecting an issuer of non-investment grade debt securities may result in an increased incidence of default. In addition, the market for lower grade debt securities may be thinner and less active than for higher grade debt securities. The Fund does not expect to invest more than 15% of its net assets in non-convertible debt securities. The Fund’s investments in non-investment grade debt securities, if any, are not expected to exceed 5% of its net assets.

At September 30, 2014, the fair value of bonds and other fixed-income securities was $11,697,397.

b. Exchange Traded Funds and Other Similar Instruments

The Fund may purchase retail Shares of exchange-traded funds that are registered under the 1940 Act (“ETFs”) and retail Shares of similar investment vehicles that are not registered under the 1940 Act (together with the ETFs, “Traded Funds”) and effect short sales of these Shares. Transactions in Traded Funds may be used in seeking maximum capital appreciation or for hedging purposes. Typically, a Traded Fund holds a portfolio of common stocks designed to track the performance of a particular index or a “basket” of stocks of companies within a particular industry sector or group. Traded Funds sell and redeem their Shares at net asset value in large blocks (typically 50,000 Shares) called “creation units.” Shares representing fractional interests in these creation units are listed for trading on national securities exchange and can be purchased and sold in the secondary market in lots of any size at any time during the trading day (i.e., retail Shares).

Investments in Traded Funds involve certain inherent risks generally associated with investments in a broadly-based portfolio of stocks including risks that the general level of stock prices may decline, thereby adversely affecting the value of each unit of the Traded Funds. In addition, a Traded Fund may not fully replicate the performance of its benchmark index because of the temporary unavailability of certain index securities in the secondary market or discrepancies between the Traded Fund and the index with respect to the weighting of securities or number of stocks held.

Because Traded Funds bear various fees and expenses, the Fund’s investment in these instruments will involve certain indirect costs, as well as transaction costs, such as brokerage commissions. The Adviser considers the expenses associated with an investment in determining whether to invest in a Traded Fund.

At September 30, 2014, the fair value of Exchange Traded Funds was $(5,589,840).

c. Temporary Investments; U.S. Government Securities Risk

During periods of adverse market conditions in the equity securities markets, the Fund may deviate from its investment objective and invest all or a portion of its assets in high quality debt securities, money market instruments, or hold its assets in cash. Securities will be deemed to be of high quality if they are rated in the top four categories by an NRSRO or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high quality, short-term debt obligations (which generally have remaining maturities of one year or less), and may include: U.S. Government Securities; commercial paper; certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation (“FDIC”); and repurchase agreements for U.S. Government Securities. In lieu of purchasing money market instruments, the Fund may purchase Shares of money market mutual funds

30

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

11. Principal and Non-Principal Fund Investment Practices and Their Risks (continued)

c. Temporary Investments; U.S. Government Securities Risk (continued)

that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act.

The Fund may also invest in money market instruments or purchase shares of money market mutual funds pending investment of its assets in equity securities or non-money market debt securities, or to maintain such liquidity as may be necessary to effect repurchases of Shares from shareholders or for other purposes.

It is possible that the U.S. Government would not provide financial support to its agencies or instrumentalities if it were not required to do so by law. If a U.S. Government agency or instrumentality in which the Fund invests defaults and the U.S. Government does not stand behind the obligation, the Fund’s Share price or yield could fall. The U.S. Government’s guarantee of ultimate payment of principal and timely payment of interest of the U.S. Government Securities owned by the Fund does not imply that the Fund’s Shares are guaranteed by the FDIC or any other government agency, or that the price of the Fund’s Shares will not continue to fluctuate.

There was no activity of the above-mentioned investments in the Fund during the year ended September 30, 2014.

d. Total Return Swaps

The Adviser may use total return swaps to pursue the Fund’s investment objective of maximum capital appreciation. The Adviser may also use these swaps for hedging purposes. A swap is a contract under which two parties agree to make periodic payments to each other based on specified interest rates, an index or the value of some other instrument, applied to a stated, or “notional,” amount. Swaps generally can be classified as interest rate swaps, currency swaps, commodity swaps, total return swaps or equity swaps, depending on the type of index or instrument used to calculate the payments. Such swaps would increase or decrease the Fund’s investment exposure to the particular interest rate, currency, commodity or equity involved. Total return swaps are where one party exchanges a cash flow indexed (on a long or short basis) to a non-money market asset (e.g., an equity security).

Most swap agreements entered into by the Fund require the calculation of the obligations of the parties to the agreements on a “net basis.” Consequently, current obligations (or rights) under a swap agreement generally will be equal to only the net amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the “net amount”).

The Fund is subject to the market risk associated with changes in the value of the underlying investment or instrument, as well as exposure to credit risk associated with counterparty non-performance on swap contracts. The risk of loss with respect to swaps is limited to the net amount of payments that the Fund is contractually obligated to make. If the other party to a swap defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund contractually is entitled to receive, which may be different than the amounts recorded on the Statement of Assets and Liabilities.

e. Call and Put Options on Individual Securities

The Fund may purchase call and put options in respect of specific securities, and may write and sell covered or uncovered call and put options for hedging purposes and non-hedging purposes to pursue its investment objective. A put option gives the purchaser of the option the right to sell, and obligates the writer to buy, the underlying security at a stated exercise price at any time prior to the expiration of the option. Similarly, a call option gives the purchaser of the option the right to buy, and obligates the writer to sell, the underlying security at a stated exercise price at any time prior to the expiration of the option. A covered call option written by the Fund is a call option with respect to which the Fund owns the underlying security. A covered put option written by the Fund is a put option with respect to which cash or liquid securities have been placed in a segregated account on the Fund’s books or with the Fund’s custodian to fulfill the obligation undertaken.

31

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

11. Principal and Non-Principal Fund Investment Practices and Their Risks (continued)

e. Call and Put Options on Individual Securities (continued)

The Fund may close out a position when writing options by purchasing an option on the same security with the same exercise price and expiration date as the option that it has previously written on the security. The Fund will realize a profit or loss if the amount paid to purchase an option is less or more, as the case may be, than the amount received from the sale thereof. To close out a position as a purchaser of an option, the Fund would ordinarily make a similar “closing sale transaction,” which involves liquidating the Fund’s position by selling the option previously purchased, although the Fund would be entitled to exercise the option should it deem it advantageous to do so. The Fund may also invest in so-called “synthetic” options or other derivative instruments written by broker-dealers.

Options transactions may be effected on securities exchanges or in the over-the-counter market. Over-the-counter options purchased and sold by the Fund may also include options on baskets of specific securities.

There was no activity of the above-mentioned investments in the Fund during the year ended September 30, 2014.

f. Foreign Currency Transactions

Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. The Fund may enter into foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of securities, income and expense items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. Occasionally, events may impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in the net change in unrealized appreciation/(depreciation) from investment activities and foreign currency transactions on the Statement of Operations.

Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period.

12. Balance Sheet Offsetting

In the normal course of business the Fund has entered into derivative transactions subject to an enforceable master netting agreement. The netting agreement allows the Fund and the counterparty to make net payments in respect of all transactions in the same currency, settling on the same date. The Fund posts cash as collateral with the Custodian for the counterparty and is held by the Custodian in a segregated account and its use is restricted. The Fund receives or posts cash as collateral with its prime broker based on the unrealized gain/loss of the swaps.

In the event of default (i.e., the Fund a) fails to post said collateral, b) fails to comply with any restrictions or provisions, or c) fails to comply with or perform any agreement or obligation), then the counterparty has the right to set-off any amounts payable by the Fund with respect to any obligations against any posted collateral or the cash equivalent of any posted collateral. Further, the counterparty has the right to liquidate, sell, pledge, re-hypothecate, or dispose of such posted collateral to satisfy any outstanding obligations.

32

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

12. Balance Sheet Offsetting (continued)

The table below presents the swap contracts that are set-off, if any, as well as collateral delivered, related to those swap contracts as of September 30, 2014.

Offsetting of Financial Assets and Derivative Assets

	Gross Amount of Recognized Assets			Gross Amounts Offset in the Statement of Assets and Liabilities				Net Amounts of Assets Presented in the Statement of Assets and Liabilities			Gross Amounts Not Offset in the Statement of Assets and Liabilities							Net Amount
											Financial Instruments			Cash Collateral Received
Total return swaps		$	5,808,189		$	(1,820,670	)		$	3,987,519		$	—		$	(10,520,000	)		$	(6,532,481	)

Offsetting of Financial Liabilities and Derivative Liabilities

	Gross Amount of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets and Liabilities				Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities			Gross Amounts Not Offset in the Statement of Assets and Liabilities						Net Amount
											Financial Instruments			Cash Collateral Pledged
Total return swaps		$	1,820,670		$	(1,820,670	)		$	—		$	—		$	91,317,237		$	—

The fair value of derivative instruments as of September 30, 2014 was as follows:

Derivatives not accounted for as hedging instruments	Notional				Net unrealized appreciation on total return swaps on the Statement of Assets and Liabilities
Total return swaps—Long		$	191,781,198			$	315,336
Total return swaps—Short			(231,185,425	)			3,672,183
Total		$	(39,404,227	)		$	3,987,519

Effect of derivative instruments trading activities for the year ended September 30, 2014:

Derivatives not accounted for as hedging instruments	Realized gain/(loss) from total return swaps recognized on the Statement of Operations				Net change in unrealized gain/(loss) of total return swaps recognized on the Statement of Operations
Total return swaps—Long		$	10,094,831			$	(1,262,644	)
Total return swaps—Short			(13,844,359	)			3,110,889
Total		$	(3,749,528	)		$	1,848,245

33

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

13. Federal Income Tax Information

At September 30, 2014, the aggregate cost and proceeds for Federal income tax purposes of portfolio investments and securities sold, not yet purchased was $1,423,299,394, and $434,871,590, respectively. For Federal income tax purposes, at September 30, 2014, accumulated net unrealized gain on portfolio investments was $223,127,106, consisting of $274,140,131 gross unrealized gain and $51,013,025 gross unrealized loss. The accumulated net unrealized gain on securities sold, not yet purchased, was $4,120,737, consisting of $30,085,359 gross unrealized gain and $25,964,622 gross unrealized loss. The difference between book basis and tax basis unrealized gain on portfolio investments and unrealized gain on securities sold, not yet purchased is attributable primarily to cumulative loss deferrals on wash sales and investments in partnerships and loss deferrals on unsettled short positions, respectively.

During the year ended September 30, 2014, taxable gain differs from net decrease in net assets resulting from operations primarily due to: (1) unrealized gain/(loss) from investment activities and foreign currency transactions, as investment gains and losses are not included in taxable income until they are realized; (2) deferred wash sales losses; (3) net deferral of qualified late year losses and (4) recognition of unrealized gain/(loss) of swap contracts currently in taxable income. Listed below is a reconciliation of net increase in net assets resulting from operations to taxable gain for the fiscal year ended September 30, 2014.

Net decrease in net assets resulting from operations	$	(33,505,801	)
Net change in unrealized gain/(loss) from investment activities and foreign currency transactions		20,824,817
Book/tax difference due to deferred wash sales losses		13,707,205
Book/tax difference due to short sales		(315,982	)
Capital losses utilized		—
Current year deferral of qualified late-year losses		61,621,811
Other book-tax differences		(871,476	)
Taxable Gain(1)	$	61,460,574

⁽¹⁾ The Fund’s taxable gain is an estimate and will not be finally determined until the Fund files its tax return for the year ended September 30, 2014. Therefore, the final taxable income may be different than the estimate.

As of September 30, 2014, the components of net assets on a tax basis were as follows:

Accumulated undistributed net investment loss	$	(69,349,851	)
Accumulated net realized losses on investments		4,604,514
Accumulated unrealized gain from investment activities and foreign currency transactions		233,063,887
Paid-in capital		1,300,581,120
Total Net Assets	$	1,468,899,670

ASC 740 Accounting for Uncertainty in Income Taxes (“ASC 740”) provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the Fund’s Financial Statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including, but not limited to, an ongoing analysis of tax laws, regulations and interpretations thereof. The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more-likely-than-not” to be sustained assuming examination by tax authorities. In accordance with authoritative guidance, management has analyzed the Fund’s tax positions for the open tax years from 2011 through 2014, and has concluded that no provision for income tax is required in the

34

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

13. Federal Income Tax Information (continued)

Fund’s financial statements. During the period, the Fund did not record any interest or penalties. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules including the unlimited carryover of future capital losses. In general, the provisions of the Act became effective for the Fund’s fiscal year beginning after October 31, 2011.

During the year ended September 30, 2014, the tax character of the dividends paid by the Fund was $2,989,243 ordinary income and $3,250,476 long-term capital gains.

35

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (continued)

14. Financial Highlights

The following table includes selected data for a share outstanding throughout the periods shown. Effective November 1, 2012, the Fund’s fiscal year end was changed from October 31 to September 30. Fiscal period end September 30, 2013 was the first since the Fund changed its fiscal year end from October 31 to September 30.

	For the Year Ended September 30, 2014				For the Eleven Months Ended September 30, 2013				For the Year Ended October 31, 2012				For the Year Ended October 31, 2011				For the Period March 1, 2010 (commencement of operations) through October 31, 2010
Net asset value per Share, beginning of period		$	13.06			$	11.33			$	11.13			$	10.57			$	10.00
Income from investment operations (a):
Net investment loss			(0.38	)			(0.75	)			(0.59	)			(0.74	)			(0.66	)
Net realized and unrealized gain/(loss) from investment activities, foreign currency transactions and total return swaps			0.14				2.48				0.85				1.30				1.23
Total income/(loss) from investment operations			(0.24	)			1.73				0.26				0.56				0.57
Distributions to shareholders:
Realized capital gains			(0.06	)			—				(0.06	)			—				—
Total distributions to shareholders			(0.06	)			—				(0.06	)			—				—
Net asset value per Share, end of period		$	12.76			$	13.06			$	11.33			$	11.13			$	10.57
Total return—gross (b) (c) (e)			(1.76	%)			19.06	%			2.93	%			6.55	%			7.32	%
Total return—net (b) (c) (e)			(1.84	%)			15.27	%			2.38	%			5.30	%			5.70	%
Ratios/supplemental data:
Net assets (dollars in thousands), end of period			1,468,900				1,137,349				694,581				325,272				152,052
Average net assets (dollars in thousands), end of period			1,408,062				931,507				519,202				269,839				65,890
Ratio of expenses to average net assets (d) (e)			3.99	%			7.99	%			5.68	%			6.81	%			9.81	%
Ratio of expenses without incentive fee to average net assets (d) (e)			3.97	%			4.01	%			5.03	%			5.38	%			6.27	%
Ratio of incentive fee to average net assets (c) (e)			0.02	%			3.98	%			0.65	%			1.43	%			3.54	%
Ratio of expenses without incentive fee, dividend & interest expense and security trading related expenses to average net assets (d) (e)			2.49	%			2.50	%			2.58	%			2.86	%			3.58	%
Ratio of dividend and interest expense to average net assets (d) (e)			0.75	%			0.61	%			0.98	%			1.09	%			1.17	%
Ratio of security trading related expenses to average net assets (d) (e)			0.73	%			0.90	%			1.46	%			1.43	%			1.52	%
Ratio of net investment loss to average net assets (d) (e)			(2.87	%)			(6.84	%)			(4.57	%)			(5.75	%)			(8.62	%)
Portfolio turnover on investments in securities (c)			113	%			127	%			97	%			108	%			148	%
Average debt ratio (d)			0.16	%			0.21	%			0.03	%			0.12	%			0.37	%

36

ACAP STRATEGIC FUND
NOTES TO FINANCIAL STATEMENTS—SEPTEMBER 30, 2014 (concluded)

14. Financial Highlights (continued)

(a) Per Share amounts presented are based on monthly Shares outstanding throughout the period indicated.

(b) Total return gross/net of incentive fee is calculated assuming an investment on the first day of each period reported, reinvestment of all dividends and distributions, if any, at net asset value on the ex-dividend dates, and a sale at net asset value on the last day of each period reported. The figures do not include any applicable sales charges; results would be lower if they were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund Shares.

(c)	Non-annualized for periods less than one year.
(d)	Annualized for periods of less than one year.
(e)	The computation of such ratios for an individual shareholder may vary from these ratios due to timing of capital activity.

15. Subsequent Events

Subsequent to September 30, 2014, and through November 26, 2014, the Fund had capital subscriptions of $21,785,422.

Pursuant to a written agreement with an effective date of December 18, 2014, the Adviser will agree to contractually reduce the Management Fee from a monthly fee computed at the annual rate of 2.00% of the Fund’s average daily net assets to a monthly fee computed at the annual rate of 1.50% of the Fund’s average daily net assets. Unless modified or terminated by the Board, this Management Fee reduction shall remain in effect indefinitely.

In connection with the reduction of the Management Fee, the Board approved a modification to the Fund’s Shareholder Servicing Fees. Effective December 18, 2014, Shareholder Servicing Fees will be restructured as Distribution and Shareholder Servicing Fees and the maximum fee will increase from 0.25% (on an annualized basis) of the net asset value of the Fund to 0.75% (on an annualized basis) of the net asset value of the Fund. In addition to compensating the Underwriter for providing, or arranging for the provision of, ongoing investor services and account maintenance services to investors in the Fund, the restructured Distribution and Shareholder Servicing Fees will now be used to compensate Selling Agents for selling shares of the Fund and marketing the Fund.

37

ACAP STRATEGIC FUND
Supplemental Information
(Unaudited)

Disclosure of Portfolio Holdings: The Fund files a Form N-Q with the Securities and Exchange Commission (the “SEC”) no more than sixty days after the Fund’s first and third fiscal quarters of each fiscal year. For the Fund, this would be for the fiscal quarters ending December 31 and June 30. Form N-Q includes a complete schedule of the Fund’s portfolio holdings as of the end of those fiscal quarters. The Fund’s N-Q filings can be found free of charge on the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 800-SEC-0330 for information on the operation of the Public Reference Room).

Voting Proxies on Fund Portfolio Securities: A description of the policies and procedures that the Adviser uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available without charge, upon request, by calling your financial advisor, or calling collect (212) 389-8713, or on the SEC’s website at http://www.sec.gov.

Supplemental Tax Information: Certain tax information regarding the Fund is required to be provided to shareholders based upon its income and distributions for the taxable year ended September 30, 2014. The information and distributions reported herein may differ from information reported on Form 1099 for the calendar year ended December 31, 2013, and December 31, 2014.

The Fund reports the following items with regard to distributions paid during the fiscal year ended September 30, 2014. All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.

For the year ended September 30, 2014, the Fund had a qualified dividend income percentage of 100%.

For corporate shareholders, of the total ordinary income distributions paid during the fiscal year ended September 30, 2014, 100% qualify for the corporate dividends received deduction.

Consideration and Renewal of Investment Advisory Agreement

At a meeting held in person on September 10, 2014, the Board of Trustees of ACAP Strategic Fund (the “Board”) approved renewing the investment advisory agreement between ACAP Strategic Fund, a Delaware statutory trust (the “Fund”), and SilverBay Capital Management, LLC, a Delaware limited liability company (the “Adviser”) (the “Advisory Agreement”), for an additional one-year period. Also, by a unanimous vote, the members of the Board (the “Trustees”) who are not “interested persons,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Fund (the “Independent Trustees”) separately voted to renew the Advisory Agreement.

In considering whether to renew the Advisory Agreement, the Board reviewed various materials from the Adviser, which included: (i) information concerning the services rendered to the Fund by the Adviser over the past year; (ii) the investment performance of the Fund and the Adviser, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) information on the profitability of the Adviser and its affiliates, taking into account their cost of providing services, and (v) other benefits to the Adviser from its relationship with the Fund. The Independent Trustees were represented in their review by experienced counsel they reasonably believed satisfied the SEC’s standards as “independent legal counsel.” In particular, the Board considered the following:

(a) The Nature, Extent and Quality of Services Provided by the Adviser.

The Trustees reviewed various presentations the Adviser provided to the Board regarding its services to the Fund. In connection with the broad scope of investment advisory services provided to the Fund, the Board discussed, in detail, with representatives of the Adviser, the performance of the Fund’s investments in relation to the Fund’s stated investment objective and policies. In this regard, the Board also considered the experience of the individuals responsible for the day-to-day management and operation of the Fund’s assets, including personnel of the Adviser and Alkeon Capital Management,

38

ACAP STRATEGIC FUND
Supplemental Information
(Unaudited) (continued)

LLC (“Alkeon”), the Adviser’s managing member, in managing funds and accounts with similar strategies to those of the Fund. The Board noted that the Adviser, or Alkeon, provides, at its own expense, facilities necessary for the operation of the Fund, and it makes certain of its personnel available to serve as the senior officers of the Fund, including the Chief Compliance Officer, the Principal Executive Officer and the Principal Financial Officer. The Trustees considered the Adviser’s performance of its obligations to provide oversight of third-party service providers and to monitor compliance with applicable Fund policies and procedures and adherence to its investment restrictions. The Board also considered the Adviser’s representations regarding the adequacy of its financial condition and its financial wherewithal to provide quality services to the Fund, and the representations, in this regard, by Alkeon, in its capacity as managing member of the Adviser, including its commitment to providing or making available to the Adviser, on an ongoing basis, adequate resources (including capital and personnel) so as to provide meaningful and appropriate support for the operations of the Adviser, including enabling it to perform its obligations, and provide quality services, to the Fund. The Board found it was reasonable to expect that the Fund would continue to receive the services required from the Adviser under the Advisory Agreement and expressed satisfaction with the nature, extent and quality of services theretofore provided.

(b) Investment Performance of the Fund and Adviser

In connection with the evaluation of the services provided by the Adviser, the Trustees reviewed the historical investment performance generated by the Adviser for those investment vehicles, such as the Fund, managed by Mr. Panayotis (“Takis”) Sparaggis, the principal portfolio manager of the Fund and the lead member of the Adviser’s Investment Team. With respect to the Fund, the Trustees observed that the Fund’s investment performance during the calendar year 2013 had underperformed the S&P 500 Index but had outperformed the MSCI World and MSCI All Country Indexes, but that during the year-to-date 2014 period underperformed all such indices. The Trustees observed the effect of the short strategy on the Fund’s relative performance during an upside market.

(c) Cost of the Services Provided and Profits Realized by the Adviser from its Relationship with the Fund

The Trustees reviewed the cost of services provided by the Adviser and the fees paid under the Advisory Agreement. The Board noted that under the Advisory Agreement the Fund pays the Adviser a fixed management fee of 2.00% and a performance-based incentive fee in an amount equal to 20% of the amount by which the Fund’s net profits exceed the balance of a loss carry-forward account. The Board considered the mechanics of the incentive fee, noting that it will continue to be paid at the close of the Fund’s fiscal year (which was changed to September 30 in late 2012) and each time the Fund conducts a share repurchase offer, although the fee paid in connection with a share repurchase offer would be limited to that portion of the incentive fee that is proportional to the Fund’s assets paid in respect of share repurchases. The Trustees further noted that any incentive fee is calculated and accrued daily as a liability of the Fund and thus is reflected in the Fund’s net asset value on a daily basis. The Trustees also considered information showing a comparison of the advisory fees and expense ratio of the Fund compared with fees and expenses of other similar closed-end, continuously-offered single manager 1940 Act-registered products, as well as fees of other funds and accounts advised or sub- advised by Alkeon. The Fund’s expense ratio approximated the median ratio of the peer group presented in the materials, and the Board was satisfied that the proposed fee structure was within the range of fees charged to other similar funds, including other funds and accounts managed by Alkeon. The Board also noted that the 2/20 management fee/incentive fee combination was a fee structure commonly charged by alternative fund managers such as the Adviser (or Alkeon). Based on its review, the Board concluded that the proposed level of the management fee and the incentive fee were fair and reasonable in light of the extent and quality of services that the Fund receives.

39

ACAP STRATEGIC FUND
Supplemental Information
(Unaudited) (concluded)

The Trustees then considered the expenses incurred and profits realized by the Adviser and its affiliates from the relationship with the Fund. Based on the data provided, the Trustees concluded that the Adviser’s profitability level was not excessive.

(d) The Extent to Which Economies of Scale Would be Realized as the Fund Grows and Whether Fee Levels Would Reflect such Economies of Scale.

The Trustees noted that economies of scale may be realized when a fund’s assets increase significantly. The Trustees did not consider that economies of scale had yet been realized sufficient to consider the effect, if any, on fees. The Trustees determined that they would revisit this issue as appropriate.

Conclusion.

Based on all of the foregoing, and such other matters as were deemed relevant, the Board found the fee structure under the Advisory Agreement to be fair and reasonable in light of the services provided by the Adviser. No single factor was determinative to the decision of the Board. Based on this determination, all of the Trustees, including all of the Independent Trustees, approved renewal of the Advisory Agreement for an additional one-year period.

40

ACAP STRATEGIC FUND
Supplemental Information
(Unaudited)

The identity of the Trustees, and brief biographical information regarding each Trustee, is set forth below. For more information on the Fund’s Trustees and Officers, please see the Statement of Additional Information (SAI), which is available without charge, upon request, by calling collect (212) 389-8713.

Independent Trustees

Name and Age	Position(s) with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex* Overseen by Trustee	Other Trusteeships/ Directorships Held by Trustee
William F. Murphy, 56	Trustee	Indefinite/Since Inception	Trader, Bay Hill Capital Management, LLC (investment management firm) Senior Vice President, Derivative Trading, HSBC Bank, NA	One(1)	None
Jorge Orvananos, 46	Trustee	Indefinite/Since Inception	Analyst, HealthCor Partners Management, L.P. (private equity firm); Technical Strategist, Kingdon Capital Management, LLC (hedge fund sponsor firm)	One(1)	None

The address of each independent Trustee is 350 Madison Avenue, 9th Floor, New York, New York 10017.

*	“Fund Complex” means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services, or that have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies.
(1)	Other than the Fund. As of September 30, 2014, each of the Independent Trustees of the Fund also served in the same capacity for Bluepoint Investment Series Trust (a part of the Fund Complex), for which the Adviser also serves as investment adviser.

41

ACAP STRATEGIC FUND
Fund Management
(Unaudited) (continued)

Interested Trustees*

Name and Age	Position(s) with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Trusteeships/ Directorships Held by Trustee
Gregory D. Jakubowsky, 42	Trustee, President and Principal Executive Officer	Indefinite/Since Inception	Chief Operating Officer, Alkeon Capital Management (investment management firm); Chief Executive Officer, Mainsail Group, LLC (broker-dealer)	One(1)	None

*	“Interested person” of the Fund or the Adviser, as defined by the 1940 Act. Mr. Jakubowsky is an interested person of the Fund due to his position as an officer of the Fund.
(1)	Other than the Fund. As of September 30, 2014, each of the Interested Trustees/Officers of the Fund also served in the same capacity for Bluepoint Investment Series Trust (a part of the Fund Complex), for which the Adviser also serves as investment adviser.

42

ACAP STRATEGIC FUND
Fund Management
(Unaudited) (concluded)

In accordance with the Fund’s agreement and declaration of trust (the “Declaration of Trust”), the Board has selected the following persons to serve as officers of the Fund:

Officers

Name and Age	Position(s) with the Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen
Gregory D. Jakubowsky, 42	Trustee, President and Principal Executive Officer	Indefinite/Since Inception	Chief Operating Officer, Alkeon Capital Management (investment management firm); Chief Executive Officer, Mainsail Group, LLC (broker-dealer)	One(1)
George Mykoniatis, 44	Treasurer and Principal Financial Officer	Indefinite/Since Inception	Chief Financial Officer, Alkeon Capital Management (investment management firm); Chief Compliance Officer, Mainsail Group, LLC (broker-dealer)	One(1)
A. Tyson Arnedt, 52	Chief Compliance Officer, Chief Legal Officer, Vice President and Secretary	Indefinite/Since Inception	General Counsel, Alkeon Capital Management (investment management firm); General Counsel, Mainsail Group, LLC (broker-dealer); Chief Compliance Officer, SilverBay Capital Management LLC (investment management firm); Independent Consultant; Chief Operating Officer, EIM Management (USA) Inc. (investment management firm);	One(1)

The address of each Officer is 350 Madison Avenue, 9th Floor, New York, New York 10017.

(1) Other than the Fund. As of September 30, 2014, each of the Officers of the Fund also served in the same capacity for Bluepoint Investment Series Trust (a part of the Fund Complex), for which the Adviser also serves as investment adviser.

43

ACAP STRATEGIC FUND
PRIVACY NOTICE

An important part of our commitment to you is our respect to your right to privacy. Protecting all of the information we are either required to gather or which accumulates in the course of doing business with you is a cornerstone of our relationship with you. This Privacy Notice sets forth the policies of ACAP Strategic Fund (the “Fund”) with respect to the collection, sharing and protection of non-public personal information of the Fund’s investors, prospective investors and former investors. These policies may be changed at any time, provided that a notice of such change is given to you. Please read this Privacy Notice carefully to understand what we do.

We collect personal information about you (such as your name, address, social security or tax identification number, assets and income) in the course of doing business with you or from documents that you may deliver to us or to an agent of the Fund. We may use this information to effectively administer our customer relationship with you. It also permits us to provide efficient, accurate and responsive service, to help protect you from unauthorized use of your information and to comply with regulatory and other legal requirements. These include those related to institutional risk control and the resolution of disputes or inquiries.

We do not disclose any nonpublic, personal information about the Fund’s investors, prospective investors or former investors to third parties, except as permitted or required by law. We maintain physical, electronic and procedural safeguards to protect such information, and limit access to such information to those employees who require it in order to provide services to you.

To service your account and effect transactions, we may provide your personal information to our affiliates and to non-affiliate firms (i.e., companies not related by common ownership or control) that assist us in servicing your account and have a need for such information, such as a broker or administrator. We may also disclose such information to service providers and financial institutions with whom we have marketing arrangements. We require third party service providers and financial institutions with which we have marketing arrangements to protect the confidentiality of your information and to use the information only for the purposes for which we disclose the information to them. We do not otherwise provide information about you to outside firms, organizations or individuals except to our attorneys, accountants and auditors and as permitted by law.

It may be necessary, under anti-money laundering or other laws, to disclose information about you in order to accept your purchase order. Information about you may also be released if you so direct, or if we, or an affiliate, are compelled to do so by law, or in connection with any government or self-regulatory organization request or investigation.

We are committed to upholding these privacy policies. We will notify you on an annual basis of our policies and practices in this regard and at any time that there is a material change thereto.

44

SILVERBAY CAPITAL MANAGEMENT LLC
(“SilverBay”)
PRIVACY POLICY

SilverBay, the investment adviser to ACAP Strategic Fund does not disclose nonpublic personal information about its clients, former clients, prospective clients, clients’ investors, prospective clients’ investors or former clients’ investors to third parties other than as described below. This Privacy Policy sets forth the policies of SilverBay with respect to the collection, sharing and protection of non-public personal information of SilverBay’s clients, former clients, client’s investors, prospective clients’ investors and former clients’ investors. These policies may be changed at any time, provided that a notice of such change is given to you. Please read this Privacy Policy carefully to understand what SilverBay does.

SilverBay collects personal information about its clients (such as names, addresses, social security or tax identification numbers, assets and income) in the course of doing business with its clients, from documents that its clients may deliver to it or its agent. SilverBay may use this information to provide advisory services to its clients, to open an account for its clients, to process a transaction for a clients’ account or otherwise in furtherance of its business. To service its clients’ accounts and effect transactions, SilverBay may provide its clients’ personal information to its affiliates and to non-affiliate firms (i.e., companies not related by common ownership or control) that assist it in servicing its clients’ accounts and have a need for such information, such as a broker or fund administrator. SilverBay may also disclose such information to service providers and financial institutions with which it has marketing arrangements.

SilverBay requires third party service providers and financial institutions with which it has marketing arrangements to protect the confidentiality of its clients’ information and to use the information only for the purposes for which SilverBay discloses the information to them. SilverBay does not otherwise provide information about its clients to outside firms, organizations or individuals except to its attorneys, accountants and auditors and as permitted by law.

SilverBay does not disclose any nonpublic, personal information about its clients, former clients, prospective clients, clients’ investors, prospective clients’ investors or former clients’ investors to third parties, except as permitted or required by law. SilverBay maintains physical, electronic and procedural safeguards to protect such information, and limits access to such information to those employees who require it in order to provide products or services to its clients.

If you have any questions regarding SilverBay’s privacy policy, please contact Tyson Arnedt at (212) 389-8713.

45

Item 2. Code of Ethics.

(a) The Registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description.

(d) The Registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees (the “Board”) has determined that Jorge Orvananos is qualified to serve as an audit committee financial expert serving on the Audit Committee of the Board (the “Audit Committee”) and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $89,250 for 2014 and $89,250 for 2013.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item are

$15,750 for 2014 and $15,750 for 2013. These services related to the review of the Registrant’s semi-annual, unaudited financial statements and the auditor’s consent to the Registrant’s prospectus.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $0 for 2014 and $0 for 2013.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2014 and $0 for 2013.

(e)(1)

Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

The Registrant’s Audit Committee Charter provides that the Audit Committee shall pre-approve, to the extent required by applicable law, (i) all audit and non–audit services that the Registrant’s independent auditors provide to the Registrant and (ii) all non-audit services that the Registrant’s independent auditors provide to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the Registrant’s investment adviser that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant; provided that the Audit Committee may implement policies and procedures by which such services are approved other than by the full Audit Committee prior to their ratification by the Audit Committee.

(e)(2)  There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) Not applicable.

(h) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The Board has delegated the responsibility for voting proxies relating to portfolio securities held by the ACAP Strategic Fund (the “Fund”) to SilverBay Capital Management LLC (the “Adviser”) as part of the Adviser’s management of the Fund pursuant to the Advisory Agreement. The Adviser has adopted proxy voting policies and procedures to ensure that it votes proxies in a manner that serves the best interests of its clients, including the Fund. The following is a summary of the Adviser’s proxy voting policies and procedures.

The Adviser has entered into an agreement with Institutional Shareholder Services Inc. (“ISS”), an independent third party, for ISS to provide the Adviser with its research and recommendations on proxies and to facilitate the electronic voting of proxies. The Adviser has adopted ISS’s proxy voting policies and procedures (the “ISS Policies”) in order to ensure that it votes proxies in the best interests of its clients. The Adviser has instructed ISS to vote all proxies in accordance with the ISS Policies, unless instructed by the Adviser to vote otherwise.

The Adviser instructs each custodian for its client accounts (including the Fund) to deliver to ISS all proxy solicitation materials that the custodian receives for that client account. The Adviser (or its designee, which may include an administrator to a client account) provides to ISS a listing of securities held “long” in each client account as of the 15th and last day of each month to enable ISS to use reasonable efforts to confirm that ISS has received all proxy solicitation materials concerning such securities.

The Adviser, through ISS, will vote proxies on behalf of client accounts. ISS evaluates all proxy solicitation material and other facts it deems relevant and may seek additional information from the party soliciting the proxy and independent corroboration of such information when ISS considers it appropriate and when it is reasonably available. The Adviser has instructed ISS to make voting decisions on behalf of each client account based on the proxy voting guidelines that ISS provides to the Adviser, subject to certain exceptions in the event of conflicts of interests. The Adviser may override ISS’ voting decisions if the Adviser deems it in the best interests of the client account. The Adviser has instructed ISS to use reasonable efforts to respond to each proxy solicitation by the deadline for such response.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 will be reported on Form N-PX and be made available no later than August 31 of each year. Such information can be obtained (i) without charge, upon request, by calling the Fund’s Vice President at (212) 389-8713 and (ii) at the SECs website at http://www.sec.gov.

Due to the size and nature of the Adviser’s operations and the Adviser’s limited affiliations in the securities industry, the Adviser does not expect that material conflicts of interest will arise between the Adviser and a client account over proxy voting. The Adviser recognizes, however, that such conflicts

may arise from time to time, such as, for example, when the Adviser or one of its affiliates has a business arrangement that could be affected by the outcome of a proxy vote or has a personal or business relationship with a person seeking appointment or re-appointment as a director of a company. Accordingly, if the Adviser determines that it has, or may be perceived to have, a conflict of interest when voting a proxy, the Adviser will address matters involving such conflicts of interest as follows:

A. if a proposal is addressed by the ISS Policies, the Adviser will vote in accordance with such policies;

B. if the Adviser believes it is in the best interests of the fund to depart from the ISS Policies, the Adviser will be subject to the requirements of C or D below, as applicable;

C. if the proxy proposal is (1) not addressed by the ISS Policies or (2) requires a case-by-case determination by the Adviser, the Adviser may vote such proxy as it determines to be in the best interests of the fund, without taking any action described in D below, provided that such vote would be against the Adviser’s own interest in the matter (i.e. against the perceived or actual conflict). The Adviser will memorialize the rationale of such vote in writing; and

D. if the proxy proposal is (1) not addressed by the ISS Policies or (2) requires a case-by-case determination by the Adviser, and the Adviser believes it should vote in a way that may also benefit, or be perceived to benefit, its own interest, then the Adviser must take one of the following actions in voting such proxy: (a) delegate the voting decision for such proxy proposal to an independent third party; (b) delegate the voting decision to an independent committee of partners, members, directors or other representatives of a fund, as applicable; (c) inform the investors in a fund of the conflict of interest and obtain consent (majority consent in the case of a fund) to vote the proxy as recommended by the Adviser; or (d) obtain approval of the decision from the Adviser’s Compliance Committee.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

(a)(1) Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members

As of the date of this filing, Mr. Panayotis (“Takis”) Sparaggis serves as the Fund’s principal Portfolio Manager and the lead member of the Adviser’s Investment Team, and has served as the Fund’s principal Portfolio Manager since the Fund’s inception. Mr. Sparaggis is the controlling person and Chief Investment Officer of Alkeon Capital Management, LLC (“Alkeon”), which is the managing member of the Adviser. From May 1995 until he established Alkeon in January 2002, Mr. Sparaggis was associated with CIBC World Markets Corp. (“CIBC WM”) and its predecessor, Oppenheimer & Co., Inc., where he was a Managing Director. From January 1996 to December 2001, Mr. Sparaggis also was a Senior Portfolio Manager for Oppenheimer Investment Advisers (“OIA”), an investment management program offered by CIBC WM, and was then responsible for OIA’s MidCap Managed Account Portfolios. From 1993 until joining Oppenheimer & Co., Inc. in 1995, Mr. Sparaggis was with Credit Suisse First Boston Investment

Management and was responsible for security analysis and portfolio management for domestic investments, including proprietary trading on long-short equities and convertible arbitrage.

(a)(2) Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest

As of September 30, 2014, Mr. Sparaggis managed or was a member of the management team for the following client accounts other than the Fund:

Type of Accounts	Total No. of Accounts Managed	Total Assets	No. of Accounts where Advisory Fee is Based on Performance	Total Assets in Accounts where Advisory Fee is Based on Performance
Registered Investment Companies:	2	1,470,588,562	1	1,466,820,599
Other Pooled Investment Vehicles:	9	2,419,488,167	8	2,405,764,415
Other Accounts:

Potential Conflicts of Interests

The investment activities of the Adviser and its affiliates for their own accounts and for other accounts they manage (collectively, “Other Accounts”) may give rise to conflicts of interest that may disadvantage the Fund. The Fund has no interest in these other activities of the Adviser and its affiliates. As a result of the foregoing, the persons that manage the Fund’s investments and their associated investment firms and their affiliates: (i) will be engaged in substantial activities other than on behalf of the Adviser and the Fund, (ii) may have differing economic interests in respect of such activities, and (iii) may have conflicts of interest in allocating their time and activity between the Fund and Other Accounts. Such persons will devote only so much of their time to the management of the Fund’s investments as in their judgment is necessary and appropriate.

There may be circumstances under which the Adviser or its associated firms will cause one or more of their Other Accounts to commit a different percentage of their respective assets to an investment opportunity than to which the Adviser will commit the Fund’s assets. There also may be circumstances under which the Adviser or its associated firms will consider participation by their Other Accounts in investment opportunities in which the Adviser does not intend to invest on behalf of the Fund, or vice versa. In addition, Mainsail Group, L.L.C. (“Mainsail”), the Fund’s distributor, may provide brokerage and other services from time to time to one or more accounts or entities managed by the Adviser or its affiliates. The Adviser will not purchase securities or other property from, or sell securities or other property to, the Fund, except that Mainsail may act as broker for, and impose usual and customary brokerage commissions on, the Fund in effecting securities transactions.

(a)(3) Compensation Structure of Portfolio Manager(s) or Management Team Members

Mr. Sparaggis’ compensation consists of periodic draws and the income from the profits of Alkeon, the managing member of the Adviser, derived by him as its controlling principal. The

level of Alkeon’s profitability in turn is dependent on the advisory fees and performance fees and allocations received from the Fund and other advisory clients.

(a)(4) Disclosure of Securities Ownership

As of September 30, 2014, Mr. Sparaggis did not own directly any shares of the Fund. (This does not take into account the Mr. Sparaggis’ position as controlling principal of the Adviser’s managing member.)

(b) Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Board, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of ethics that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(12.other) Not applicable.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) ACAP Strategic Fund

By (Signature and Title)*	/s/ Gregory D. Jakubowsky
	Gregory D. Jakubowsky, President and Principal Executive Officer
	(principal executive officer)

Date      12/5/2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Gregory D. Jakubowsky
	Gregory D. Jakubowsky, President and Principal Executive Officer
	(principal executive officer)

Date      12/5/2014

By (Signature and Title)*	/s/ George Mykoniatis
	George Mykoniatis, Treasurer and Principal Financial Officer
	(principal financial officer)

Date      12/5/2014

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH

Exhibit 99.Code Eth

Effective September 20, 2012

ACAP STRATEGIC FUND
BLUEPOINT INVESTMENT SERIES TRUST

CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND
SENIOR FINANCIAL OFFICERS ADOPTED PURSUANT TO RULES
PROMULGATED UNDER SECTION 406 OF THE SARBANES-OXLEY ACT OF 2002

I. Covered Officers/Purpose of the Code

This code of ethics (the “Code”) of ACAP Strategic Fund and Bluepoint Investment Series Trust (each, a “Fund”), applies to the Fund’s principal executive officer and principal financial officer (the “Covered Officers,” each of whom is set forth in Exhibit A) for the purpose of promoting:

· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fund files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Fund;

· compliance with applicable laws and governmental rules and regulations;

· the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or the Covered Officer’s service to, the Fund. For example, a conflict of interest would arise if a Covered Officer, or a member of the Covered Officer’s family, receives improper personal benefits as a result of the Covered Officer’s position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (“Investment Company Act”) and the Investment Advisers Act of 1940, as amended (“Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as “affiliated persons” of the Fund. The compliance programs and procedures of the Fund and its investment adviser are designed to prevent, or identify and

correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Fund and its investment adviser or a third party service provider of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fund or for its investment adviser or a third party service provider, or for one or more of them), be involved in establishing policies and implementing decisions that will have different effects on the adviser, third party service provider and the Fund. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fund and its adviser or third party service provider and is consistent with the performance by the Covered Officers of their duties as officers of the Fund. The foregoing activities, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, will be deemed to have been handled ethically.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The overarching principle with respect to all conflicts of interest covered by the Code is that the personal interest of a Covered Officer should not be placed improperly before the interests of the Fund or its shareholders.

Each Covered Officer of the Fund must:

· not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally to the detriment of the Fund;

· not cause the Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Fund; and

· report at least annually his or her affiliations or other relationships that could potentially present a conflict of interest with the Fund or its shareholders.

III. Disclosure and Compliance

· Each Covered Officer of the Fund shall become familiar with the disclosure requirements generally applicable to the Fund;

· each Covered Officer of the Fund shall not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund’s management and auditors, and to governmental regulators and self-regulatory organizations;

· each Covered Officer of the Fund may, to the extent appropriate within the Covered Officer’s area of responsibility and to the extent deemed necessary in the sole discretion of the Covered Officer, consult with other officers and employees of the Fund and its investment adviser with the goal of promoting full, fair, accurate, timely and

understandable disclosure in the reports and documents the Fund files with, or submits to, the SEC and in other public communications made by the Fund; and

· each Covered Officer should seek to promote compliance by the Fund with applicable standards and restrictions imposed by applicable laws, rules and regulations.

IV. Reporting and Accountability

Each Covered Officer must:

· upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Chief Compliance Officer of the Fund (the “CCO”) that the Covered Officer has received, read and understands the Code;

· annually thereafter affirm to the CCO that the Covered Officer has complied with the requirements of the Code;

· not retaliate against any other Covered Officer or any employee of the Fund or its affiliated persons for reports of potential violations of the Code that are made in good faith; and

· notify the CCO promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The CCO is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. The CCO is authorized to consult, as appropriate, with counsel to the Fund and counsel to the Trustees of the Fund who are not “interested persons,” as defined by Section 2(a)(19) of the Investment Company Act, of the Fund (the “Independent Trustees”) (if the Independent Trustees engage separate counsel), and is encouraged to do so. However, any approvals or waivers¹ must be considered by the Independent Trustees.

The Fund will follow these procedures in investigating and enforcing this Code:

· the CCO will take all appropriate action to investigate any reported potential violations;

· if, after such investigation, the CCO believes that no violation has occurred, the CCO is not required to take any further action;

· any matter that the CCO believes is a violation will be reported to the Independent Trustees;

· if the Independent Trustees concur that a violation has occurred, the CCO will inform and make a recommendation to the Board of Trustees of the Fund (the “Board”), which will

¹ For this purpose, the term “waiver” includes the approval of a material departure from a provision of this Code or the Fund’s failure to take action within a reasonable period of time regarding a material departure from a provision of the code of ethics that has been made known to management of the Fund.

consider appropriate action, which may include a review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the Fund’s investment adviser or other relevant service provider; or a recommendation to dismiss the Covered Officer; and

· any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Fund for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Fund, the Fund’s investment adviser, principal underwriter(s), or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics, under Rule 17j-1 under the Investment Company Act, of the Fund, its investment adviser (and managing member) and principal underwriter(s), as they may apply to the Covered Officers and others, constitute separate requirements and are not part of this Code.

VI. Amendments

Amendments to this Code may be made from time to time, as deemed appropriate by the CCO. The Board shall be informed of any such amendment to the extent deemed material by the Fund’s CCO.

VII. Confidentiality

All reports and records relating to the Fund prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fund’s investment adviser or Board, counsel to the Fund and counsel to the Independent Trustees.

VIII. Internal Use

The Code is intended solely for the internal use by the Fund and does not constitute an admission, by or on behalf of the Fund, as to any fact, circumstance, or legal conclusion.

Exhibit A

Persons Covered by this Code of Ethics

Greg Jakubowsky
President and Principal Executive Officer

George Mykoniatis
Treasurer and Principal Financial Officer

CODE OF ETHICS
FOR PRINCIPAL EXECUTIVE
AND PRINCIPAL FINANCIAL OFFICER

CERTIFICATE OF COMPLIANCE

As a Covered Officer as defined in the Code of Ethics For Principal Executive and Principal Financial Officers of ACAP Strategic Fund and Bluepoint Investment Series Trust (the “Code”), I hereby certify that I have received and have read and fully understand the Code, and I recognize that I am subject to the Code. I further certify that I will comply with the requirements of the Code.

Signature

Gregory Jakubowsky, Principal Executive Officer

Name

Date

CODE OF ETHICS
FOR PRINCIPAL EXECUTIVE
AND PRINCIPAL FINANCIAL OFFICER

CERTIFICATE OF COMPLIANCE

As a Covered Officer as defined in the Code of Ethics For Principal Executive and Principal Financial Officers of ACAP Strategic Fund and Bluepoint Investment Series Trust (the “Code”), I hereby certify that I have received and have read and fully understand the Code, and I recognize that I am subject to the Code. I further certify that I will comply with the requirements of the Code.

Signature

George Mykoniatis, Principal Financial Officer

Name

Date

EX-99.CERT

Exhibit 99.Cert

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act

I, Gregory D. Jakubowsky, certify that:

1. I have reviewed this report on Form N-CSR of ACAP Strategic Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	12/5/2014	/s/ Gregory D. Jakubowsky
		Gregory D. Jakubowsky, President and Principal Executive Officer
		(principal executive officer)

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act

I, George Mykoniatis, certify that:

1. I have reviewed this report on Form N-CSR of ACAP Strategic Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	12/5/2014	/s/ George Mykoniatis
		George Mykoniatis, Treasurer and Principal Financial Officer
		(principal financial officer)

EX-99.906 CERT

Exhibit 99.906 Cert 

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act

I, Gregory D. Jakubowsky, President and Principal Executive Officer of ACAP Strategic Fund (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:	12/5/2014	/s/ Gregory D. Jakubowsky
		Gregory D. Jakubowsky, President and Principal Executive Officer
		(principal executive officer)

I, George Mykoniatis, Treasurer and Principal Financial Officer of ACAP Strategic Fund (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:	12/5/2014	/s/ George Mykoniatis
		George Mykoniatis, Treasurer and Principal Financial Officer
		(principal financial officer)