Optimized Collateral
Overview
Our Optimized Collateral strategy is the most efficient exchange margin alternative, especially suited to Managed Futures Funds and Futures Investors:
Consistently outperforms 0-3 month US T-bills while maintaining a similar risk profile, short duration, high liquidity, and low costs.
Offsets margin needs on CME, CBOE, NYMEX, COMEX, Eurex, etc with the advantage over T-bills of zero haircut and zero collateral fees.
Portfolio gains are 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.
Average annualized tax equivalent outperformance of ~1.3% over T-bills for managed futures funds and futures investors.
Features
| Current AUM | $59,830,587 |
| Minimum Investment | $500,000 |
| Inception Date | 12th December 2024 |
| Management Fee | 0.10% |
| Performance Fee | None |
| Holding Period | None |
| Structure | SMA |
Performance Snapshot (net of fees)
Period Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.39% | 0.34% | 0.35% | 0.36% | 0.39% | 0.34% | 0.37% | 0.38% | 0.34% | 3.29% | |||
| 2024 | 0.31% |
Annualized Tax Equivalent Returns for Managed Futures Funds and Futures Investors vs S&P 0-3 Month T-bill Index
Assumptions for calculation of Tax Equivalent Returns for Managed Futures Funds and Futures Investors
Marginal Federal Tax Rate: 37%
Long Term Capital Gains Tax Rate: 20%
Non-cash collateral fees imposed on T-bills: 0.30%
Does not account for state and local taxes, if any
Does not account for higher expected returns due to zero haircut and expanded capacity for core strategies
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. TAX CALCULATIONS ARE INDICATIVE AND BASED ON SEVERAL ASSUMPTIONS WHICH MAY NOT APPLY IN MANY SITUATIONS. PLEASE CONSULT A QUALIFIED TAX ADVISER.