Overview
Optimized Collateral Yield
Our Optimized Collateral Yield strategy is a unique SMA solution customized to the needs of Commodity Pool Operators and other Managed Futures investors with the following characteristics:
seeks to consistently outperform 0-3 month US T-bills while maintaining a similar risk profile, high liquidity and ultra-low costs
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)
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Performance Snapshot (net of fees)
Period Returns
| Investment | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Optimized Collateral | 2025 | 0.38% | 0.38% | |||||||||||
| T-Bill Index | 0.37% | 0.37% | ||||||||||||
| Optimized Collateral | 2024 | 0.30% | ||||||||||||
| T-Bill Index | 0.24% |
| Investment | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Optimized Collateral | 2025 | 4.31% | 4.31% | |||||||||||
| T-Bill Index | 4.26% | 4.26% | ||||||||||||
| Optimized Collateral | 2024 | 5.44% | ||||||||||||
| T-Bill Index | 4.34% |
Features
| Minimum Investment | $1 million |
| Current AUM | $34 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. LEVERAGE INCREASES POTENTIAL RETURNS BUT ALSO MAGNIFIES POTENTIAL LOSSES. INVESTORS SHOULD CAREFULLY CONSIDER THEIR RISK TOLERANCE BEFORE EMPLOYING LEVERAGED STRATEGIES.
Recent Implied Yields and Volumes
Implied yields represent the annualized interest rates embedded within futures or options prices at a point of time based on financial models. Implied yields have been prepared from market data on a) front month S&P 500 futures option trades greater than $50,000 in size and b) treasury bills with maturity closest to front month options maturity. Volumes represent total dollar volume of all such trades for all maturities, including but not limited to the front month. 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 OPTIONS PRICES AND TREASURY BILL RATES. THESE CONDITIONS ARE SUBJECT TO CHANGE AND MAY AFFECT FUTURE PERFORMANCE.