Purpose & Goals

The fund traces its origins to the Global Fund Portfolio which was created from a $50,000 donation to the Oregon State Investment Group. The fund was subsequently transformed into a Fixed Income Portfolio with the goal of incorporating futures contracts into the fund to create a Synthetic Portfolio. The inception of the Fixed Income Portfolio took place on June 28th, 2012 and has had a return of 5.41% since inception. The portfolio is currently valued at $66.607.63.

Investment Objective and Strategy

The Fund seeks to exceed the total return of the Russell 2000 Index by investing in Russell 2000 Index futures, backed by a portfolio of Fixed Income Instruments actively managed through a macro strategy. Due to our size and sophistication, we’re unable to trade individual fixed income instruments and instead rely on ETF’s and Mutual Funds comprised of underlying fixed income securities to construct our portfolio. These ETF’s and Mutual Funds are selected based on macroeconomic and fund specific research across all spectrums of the fixed income market. The objective of the fixed income component is to outperform the implied financing rate of the Russell 2000 future contract(s). “Fixed income instruments” consists of bonds, debt securities and other instruments issued by various U.S. and non-U.S. public or private sector entities.

Guidelines Going Forward…

The Synthetic Portfolio is designed to blend fixed income securities and futures contracts in its composition. Analysts wishing to pitch for this portfolio will be expected to conduct due diligence on the asset class highlighted above with technical and fundamental (primarily macroeconomic) justifications to support the analysis. 

The Portfolio composition will maintain cash sufficient for initial margin as well as additional cash collateral representing up to 15% but no less than 10% of the portfolio’s value. The bench mark of the portfolio is the Barclays U.S. Aggregate Index which currently has duration of 4.85 years. The Synthetic Portfolio’s duration may vary between 1 year and 8 years based on our forecast for interest rates. The portfolio’s duration is the weighted average of the duration of its fixed income holdings. The duration of the Portfolio may be adjusted through the reallocation of the securities to position the fund for the macroeconomic environment.  Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates. The Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated.

The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. 


  • Initial positions will be no less than 10% but may not exceed 30% of the portfolio o No positions will exceed 40% of the portfolio following the initial purchase of the security
  • Cash collateral may represent up to 15% of the portfolio but no less than 10%
  • Must have sound macroeconomic rationale in the due diligence of the fixed income securities
  • The securities in the portfolio are not limited to fixed income securities but may include common stock as well
  • The duration of the portfolio may vary between 1-8 years depending on the economic environment
  • The portfolio’s bench mark is the Barclay’s U.S. Aggregate Index
  • The index future of the portfolio is Russell 2000
  • The fixed income securities portfolio are to be actively monitored
  • Positions within the portfolio may be adjusted at the discretion of the PM prior to informing the group about the decision when circumstances require immediate action
  • The PM will be required to obtain fiduciary approval of one other PM, the Faculty Advisor or the President
  • A full analysis and justification of the action must be presented to the group following the execution of the trade
    • A majority vote in the group may be overridden by a majority vote taken during the management meetings
    • Management meetings are open to all members 
      • The final deadline to execute a trade is five business days from the management meeting following the pitch and the decision