S&P 500 Futures Basis
Overview
Our S&P 500 Futures Basis strategy is the highest yielding cash alternative with the following characteristics:
Consistently outperforms 0-3 month T-bills while having a similar risk profile, short duration, high liquidity, and low costs.
Optional duration-matched leverage can further boost yield.
Additional tax efficiencies and optional tax-loss harvesting features.
Competitive fee structure ensures that we get paid only if we add value to our clients by outperforming the benchmark T-bill index.
Referenced in Financial Times and Bloomberg as the highest yielding cash alternative.
Monetizes the interest rate embedded within S&P 500 futures, which trades above T-bills due to well-known economic reasons.
Average annualized outperformance of ~1% over T-bills.
For historical yields and returns, please refer to the EFIX Index and EFIR Index
Features
| Minimum Investment | $500,000 |
| Management Fee | None |
| Outperformance Fee | 20% |
| Liquidity | Daily |
| Leverage | Optional |
| Tax Loss Harvesting | Optional |
| Structure | SMA |
Portfolio Details
| Average Maturity | 21 days |
| Strategy Implied Yield | 4.63% |
| T-bill Implied Yield | 3.96% |
| Implied Premium | 0.67% |
| Inception Date | 14th Jun 2024 |
As of 28th Nov 2025
Performance (net of fees)
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.