SPX Futures Basis
Overview
Our SPX 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 | 80 days |
| Strategy Implied Yield | 4.34% |
| T-bill Implied Yield | 3.60% |
| Implied Premium | 0.74% |
| Inception Date | 14th Jun 2024 |
As of 31st December 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. Results are dependent upon prevailing market conditions, including S&P 500 Futures basis levels and Treasury Bill yields. Leverage increases potential returns but also magnifies potential losses. Investors should carefully consider their risk tolerance before employing leveraged strategies.