Futures Basis Yield
Overview
Our Futures Basis Yield strategy monetizes the futures financing rate with the following characteristics:
unlevered, it consistently outperforms 0-3 month T-bills while having a similar risk profile, short duration and high liquidity
optional duration-matched leverage can further boost yield (max ~15x leverage, adds ~0.50% yield per 1x leverage turn)
additional tax efficiencies and optional tax-loss harvesting features
our fees ensure that we get paid only if we add value to our clients by outperforming the benchmark T-bill index
Features
| Minimum Investment | $5 million |
| Current AUM | $1 million |
| Inception Date | 14th June 2024 |
| Management Fee | None |
| Outperformance Fee | 20% |
| Holding Period | None |
| Leverage | Optional, up to ~15x |
| Tax Loss Harvesting | Optional |
| Structure | SMA |
Performance Snapshot (net of fees)
| Investment | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Futures Basis | 2025 | 0.47% | 0.41% | 0.88% | ||||||||||
| T-Bill Index | 0.37% | 0.33% | 0.70% | |||||||||||
| Futures Basis | 2024 | 0.47% | 0.53% | 0.43% | 0.44% | 0.45% | 0.75% | 3.32% | ||||||
| T-Bill Index | 0.45% | 0.48% | 0.42% | 0.40% | 0.39% | 0.40% | 2.78% |
Period Returns
| Investment | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Futures Basis | 2025 | 5.34% | 5.31% | 5.34% | ||||||||||
| T-Bill Index | 4.26% | 4.30% | 4.28% | |||||||||||
| Futures Basis | 2024 | 5.59% | 5.90% | 5.58% | 5.21% | 5.29% | 8.81% | 6.09% | ||||||
| T-Bill Index | 5.31% | 5.36% | 5.46% | 4.68% | 4.62% | 4.69% | 5.10% |
Annualized Returns
Annualized returns are calculated by multiplying holding period returns by [365 / number of days from period beginning settle date to period ending settle date]. Annualized returns are provided for ease of comparison with treasury bills and other products typically quoted in terms of annualized yields. Futures are marked to [Spot Close + BTIC Settle] rather than [Futures Settle]; we believe the former better reflects the portfolio liquidation value.
THESE FIGURES ARE INDICATIVE AND SHOULD NOT BE CONSTRUED AS GUARANTEED RETURNS. LEVERAGE INCREASES POTENTIAL RETURNS BUT ALSO MAGNIFIES POTENTIAL LOSSES. INVESTORS SHOULD CAREFULLY CONSIDER THEIR RISK TOLERANCE BEFORE EMPLOYING LEVERAGED STRATEGIES.
Historical Yields and Hypothetical NAVs (unlevered)
Implied yields represent the annualized interest rates embedded within futures or options prices at a point of time based on financial models. Historical implied yields have been prepared from market data on a) S&P 500 Index b) BTIC on front e-Mini S&P 500 Index futures c) S&P 500 Quarterly Dividend Index d) S&P 500 Quarterly Dividend Index futures and e) treasury bills with maturity closest to the corresponding S&P 500 futures maturity. NAVs represent the evolution of a hypothetical $100 investment in Futures Basis Yield and T-bills. Results do not include any commissions, fees, or other transaction costs.
Data is updated on the next business day.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
RESULTS ARE DEPENDENT ON PREVAILING MARKET CONDITIONS, INCLUDING S&P 500 FUTURES BASIS SPREADS AND TREASURY BILL RATES. THESE CONDITIONS ARE SUBJECT TO CHANGE AND MAY AFFECT FUTURE PERFORMANCE.