Overview
Optimized Collateral Yield
Our Optimized Collateral Yield strategy is a unique cash management alternative with the following characteristics:
consistently outperforms 0-3 month US T-bills while maintaining a similar risk profile, short duration and high liquidity
assets are acceptable as CME margin collateral, with the advantage over T-bills of zero haircut and zero carrying charge
taxed as Section 1256 contracts (60% long term and 40% short term capital gains)
analysis by the Federal Reserve Bank of New York views the yield of such a strategy as the risk-free rate
Performance Snapshot (net of fees)
Period Returns
| Investment | Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Optimized Collateral | 2025 | 0.39% | 0.34% | 0.73% | ||||||||||
| T-Bill Index | 0.37% | 0.33% | 0.70% | |||||||||||
| Optimized Collateral | 2024 | 0.31% | ||||||||||||
| T-Bill Index | 0.24% |
| Investment | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Optimized Collateral | 2025 | 4.43% | 4.40% | 4.42% | ||||||||||
| T-Bill Index | 4.26% | 4.30% | 4.28% | |||||||||||
| Optimized Collateral | 2024 | 5.68% | ||||||||||||
| T-Bill Index | 4.34% |
Features
| Minimum Investment | $1 million |
| Current AUM | $41 million |
| Inception Date | 12th December 2024 |
| Management Fee | 0.10% |
| Performance Fee | None |
| Holding Period | None |
| Structure | SMA |
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.
THESE FIGURES ARE INDICATIVE AND SHOULD NOT BE CONSTRUED AS GUARANTEED RETURNS. RESULTS ARE DEPENDENT ON PREVAILING MARKET CONDITIONS, INCLUDING S&P 500 FUTURES OPTIONS PRICES AND TREASURY BILL RATES. THESE CONDITIONS ARE SUBJECT TO CHANGE AND MAY AFFECT FUTURE PERFORMANCE. PORTFOLIO IS MARKED TO MARKET DAILY WHICH REFLECTS LIQUIDATION VALUE BUT MAY NOT BE THE SAME AS DAILY EXCHANGE SETTLEMENT PRICES; BOTH DO CONVERGE AT MATURITY.