Cockroach Strategy

The Cockroach Strategy seeks to achieve higher long-term, compound growth compared to traditional stock/bond focused portfolios with more limited drawdowns. It is intended as a total portfolio, ‘set it and forget it’ approach that strives to give investors peace of mind and meaningful capital appreciation.

The Cockroach strategy consists of a diversified ensemble of assets including stocks, bonds, commodity trend strategies, long volatility strategies, and gold. It is designed to perform across macroeconomic environments including periods of growth, recession, inflation and deflation.

The Cockroach strategy does not seek to predict which way prices will move for a given asset. Rather, it recognizes that investor’s memories can be short – leading to portfolios that are not as diversified as they should be.

By having exposure to asset classes that can do well in growth, decline, inflation or deflation, the Cockroach strategy strives to have a much longer memory. It intends to systematically “buy low and sell high” as asset classes and strategies come in and out of favor in order to deliver better risk-adjusted returns over the long run.

Management Fee1%
Performance Fee10%
Min Investment$100,000
RedemptionsMonthly with 10 days notice
IRA EligibleYes
Investor TypeAccredited
Investor EligibilityGlobal
  • US master fund (for US investors)
  • Cayman Islands feeder fund (for non-US investors)
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Disclaimer: Outside of the tables marked ‘live performance’, the numbers and graphics herein are examples and exhibits of the topic discussed and do not represent trading in actual accounts. Funds utilizing futures and derivatives carry a risk of substantial losses and are not suitable for all investors. There is no guarantee the strategies outlined herein will result in profits or achieve their desired outcome. Please see full terms of use risk disclaimer and privacy policy.

Live Performance

Past performance is not necessarily indicative of future results.

The above results are the net of all fees returns for Class B in the Cockroach Strategy of the Cockroach Fund, LLC.

Backtested Performance

Full performance tables including backtested results prior to the fund launch are available to QEPs. Please review important disclosures regarding the material assumptions and hypothetical nature of the backtested results when viewing this performance.*

*This presentation is intended only for investors with more than $2 million in investable assets that qualify as a “QEP” (learn more). Please note that this requirement is only to view backtested results, and that the investment itself is available to all accredited investors.

Why Cockroach?

Stocks can go through decades long down periods

Equity focused portfolios have not performed well historically in extended recessions or inflationary periods; suffering drawdowns or flat periods in the 1930s, 1970s, and 2000s.

Long drawdowns are the enemy of long-term returns as you lose years of compounding.

We believe this means investors cannot rely on equities alone to deliver robust long-term performance.

True Diversification Requires Including Assets that Can Thrive in Different Macroeconomic Environments

We believe that there are four macroeconomic environments:

  1. Growth
  2. Recession
  3. Inflation
  4. Deflation

In our research, most periods of recorded economic history in countries around the world can be fit into one or a combination of these four environments.

While many investors believe they have diversified portfolios, the reality for most investors is that almost everything in their portfolio is designed to do well in only two of these quadrants: Growth (stocks) and Deflation (bonds).

Traditional Diversification Advice Works 60% of the Time, Every Time

Portfolios composed primarily of stocks, bonds, real estate, private equity and venture capital are like sports teams that are all offense.

They can go through periods such as 1980-1999 or 2010-2019 where they put up a lot of points. However, when the offense has a couple of off days as it did in the U.S. in the 1930’s, 1970’s and 2000’s, the championship hopes go out the window and investors can be underwater for a long time.

Most investors alive today have only lived in periods where offensive assets like stocks and bonds performed exceedingly well by historical standards. We believe that has caused most funds, advisors, and investors to have a strong bias towards those offensive assets.

Offense wins games, but defense wins championships

We have a different philosophy inspired by longer financial history: We believe Offense wins games, but Defense wins championships.

A portfolio of all offensive assets can do well for a few years or even a few decades. But, in the long run of a full lifetime, we believe investors require defensive assets like volatility and commodities alongside offensive assets like stocks and bonds.

We believe that to reduce their drawdowns and maximize long-term returns, investors need to further diversify and avoid these periods of prolonged drawdowns.

The Cockroach Strategy Seeks to Do Well Across Macro Environments

The Cockroach Strategy seeks to thrive across macroeconomic regimes by including assets with fundamentally different return drivers.

We believe that:

  • Stocks do well in Growth – Equities benefit from increasing growth environments.
  • Income does well in Deflation – While stocks can struggle in deflationary periods because of the increased debt service, the bondholders that are providing that debt benefit as can other income-based trades.
  • Volatility does well in Decline – We believe the asset class most fundamentally linked to a decline is volatility which can profit from declines in equity markets.
  • Commodity Trend does well in Inflation – We believe commodity trend following strategies are the most fundamentally linked to increases in inflation since inflation is measured against a basket of commodities.

Since it covers each of the four macro-environments, the Cockroach approach strives to have something that is (almost) always working.

As we do not believe we have any ability to predict changes in macroeconomic regimes, the strategy does not seek to time the market or weight towards economic conditions.

Fractal Diversification

Finally, we believe that investors would benefit from fractal diversification. Diversification across the four macro quadrants is a good starting point, but even better is diversification within each of those quadrants.

The Cockroach approach diversifies within each of the quadrants by including global stocks, global bonds, global bonds, three different volatility strategies and three different trend approaches.

Ultimately, we believe this should result in better returns with lower drawdowns than traditional stock and bond focused portfolios.

Disclaimer: Outside of the tables marked ‘live performance’, the numbers and graphics herein are examples and exhibits of the topic discussed and do not represent trading in actual accounts. Funds utilizing futures and derivatives carry a risk of substantial losses and are not suitable for all investors. There is no guarantee the strategies outlined herein will result in profits or achieve their desired outcome. Please see full terms of use risk disclaimer and privacy policy.

How to Get Started

1. Complete our Application Form
2. Verify You are an Accredited Investor
3. Review & Sign Investment Docs
4. Wire in Your Funds
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Deep Dive Questions & Resources

Strategy Deep Dive

Updated: October 12, 2023

The following is designed to be informative in nature, but is not exhaustive and should not be considered apart from the full disclosures contained in the Fund’s offering memorandum. Any offer or solicitation of the Fund(s) may be made only by delivery of the Memorandum(s). There are no guarantees the strategy will perform as expected or designed, and any information described herein may change or evolve without notice. All discussions of costs relate solely to the U.S. Funds – Cockroach Fund, LLC and Long Volatility Fund, LLC. Investors into Mutiny Cayman Funds, Ltd. may be subject to other costs.

How Did You Construct the Cockroach Strategy?

Many approaches to diversification, such as the 60/40 stock/bond approach, rely on historical statistical correlations. We believe that historical correlations can be informative, they should not be solely relied upon as they are often subject to change as the economy moves through different regimes.

Instead of starting with historical correlations, we start with the four quadrant model of different macroeconomic regimes: growth, decline, inflation and deflation. All periods of financial history can be categorized as one, or a combination, of these four regimes.

For each of those quadrants, we sought to identify asset classes and investment strategies with return drivers that we feel will benefit from each of these macroeconomic regimes.

A return driver is the primary underlying condition that drives the price of a market. As opposed to using shorter term historical correlations, return drivers seek to identify fundamental relationships between an asset or strategy and the different macroeconomic environments.

The four return drivers we believe will do well in these different environments are:

  • Stocks tend to do well in Growth
  • Income Strategies tend to do well in Deflation
  • Volatility strategies tend to do well in Decline
  • Trend Strategies tend to do well in Inflation

We view each of these strategies as having one core environment where it should do the best, but also able to “overlap” and augment the other strategies. For instance, income strategies can do well in growth environments as can trend strategies. Volatility can do well in an inflationary environment and Trend can do well in Decline.

This seeks to provide more robustness and resilience to the overall portfolio and maximize the chance number of periods in which the overall return is positive which should increase the long-term returns.

We call this approach fractal diversification. Diversification across the four macro quadrants is a good starting point, but even better is diversification within each of those quadrants.

By including not just US markets, but global stocks and global bonds, different income strategies, three different volatility strategies and three different trend approaches, the Cockroach Strategy diversifies within each of the quadrants, seeking to further reduce the risk and increase the returns of the portfolio.

Ultimately, we believe this approach will help investors improve their risk-adjusted returns, both more efficiently compound their while better mitigating drawdowns in the interim.

What Exactly is In Each of The Sub Strategy Buckets?


We see stocks as fundamentally correlated to economic growth. When GDP is increasing, corporate profits tend to increase as well which is the long-term driver of equity prices (though there can be plenty of fluctuations in the short to medium term).

Within the equities strategy, the Cockroach Strategy intends to have 60% allocated to a broad basket of US stock index futures (S&P 500, Nasdaq, and Russell 2000) and 40% to International stock index futures (developed and emerging markets) to achieve broad diversification across equity markets.

Specifically, the stock sub-strategy includes:

  • U.S. Stock Market Exposures include S&P 500, Nasdaq, and Russell 2000
  • Developed Market Exposures include: MSCI EAFE (Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the UK)
  • Emerging Markets Exposures include: MSCI Emerging Markets (Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates)



The Income sub-strategy is designed to replicate the consistent source of income historically provided by bond investments and consequently perform well in a deflationary environment.

Where stocks can struggle in deflationary periods (or periods of declining inflation known as disinflation) because of the increased debt service, the bond holders which are providing that debt can benefit.

While bonds are the most common and easily accessible return driver for a deflationary environment, we believe that other assets which provide a yield such as carry trades also serve the same core function of providing income to the portfolio while offering diversification benefits beyond just bonds.

The Cockroach Strategy has a diversified income strategy that includes exposure to:

  • US Treasury Bond Futures – A blend of US Treasury Note and Bond Futures ranging from 2 years to 30 years. The bonds are position sized in such a way that each has a target duration of 15 years, allowing for diversification across the yield curve.
  • Global Bond Futures – A blend of German, UK, Canadian, Japanese and Australian Bonds sized in such a way that each has a target duration of 15 years.
  • An Ensemble of Carry Strategies – The ReSolve Ensemble Carry strategy we are using seeks to harness carry returns from over 70 global futures markets across equity indices, bonds, currencies and commodities. The strategy seeks to maximize long exposure to assets with positive carry and maximize short exposure to markets with negative carry, while minimizing the overall risk of the portfolio. Learn more about Carry Strategies here.



The Commodity Trend sub-strategy seeks to do well in prolonged declines in equity markets, as well as Inflationary environments due to their substantial exposure to commodity markets. We believe that commodities are the most fundamental return driver linked to inflation, since inflation is (typically) measured against a basket of commodities or products made using commodities.

That’s not to say an inflationary environment will just affect commodity prices. Currencies, interest rates, and stock markets would likely move as well. The Trend sub-strategy includes exposure to all of them (going both long and short) as part of our Trend bucket.

We believe the Trend bucket should help augment our volatility bucket in the case of a prolonged recession while leading the charge in a sustained period of high inflation.

We believe that this makes it superior to buy and hold commodities approaches as it is able to benefit from both rising and falling commodity markets as well as trends in other markets.

We include managers with short-term, medium-term, and longer-term look back periods (ranging from a few days to many months) trading across 100+ futures markets. We believe this maximizes our chance of capturing the bulk of a sustained trend move.

For more detailed information on the managers and strategies we employ, please see our Commodity Trend Strategy DDQ.


Long Volatility

Volatility is known to expand, sometimes dramatically, in both sharp and extended stock market declines. Volatility then is the return driver which appears most fundamentally linked to such declines.

We do not believe that the most common equity hedge, U.S. government bonds, will necessarily do well if stock prices decline sharply. Rather, our research indicates that this is a historical correlation which has come and gone over history. We see no such structural reason that traditional safe haven assets like government bonds will fare well whereas a put option on the S&P, for example, will pay out if the S&P declines past its strike price.

There is a cost to buying such put options, of course, which is why they are a piece of a larger strategy.

To achieve its long volatility exposure, The Cockroach Strategy will invest into the same sub-managers as those used in Mutiny Funds’ Volatility Strategy.

It is intended as an efficient vehicle for investors seeking diversification, long volatility exposure, and tail risk protection, and combines four types of long volatility strategies across a basket of managers.

This ensemble approach is designed to have minimal carry costs in good years for the market, while maximizing the certainty of providing large, convex returns in volatile market crashes (e.g. 2001-2003, 2008-2011, Q1 2020).

For more detailed information on the managers and strategies used, please see our Volatility Strategy.


Gold and Crypto Assets

Since the four core strategies (stocks, volatility, trend, and income) are predominantly denominated in U.S. dollars, we include gold as a hedge against fiat risk from a prolonged period of high inflation.

Additionally, gold provides another uncorrelated return stream which, when rebalanced with the rest of the portfolio, should improve the risk-adjusted returns during “normal” periods with low to moderate levels of inflation.

Many of the same fiat protection logic exists for owning crypto currencies such as Bitcoin and Ethereum. In addition, crypto assets such as Bitcoin are historically uncorrelated to traditional asset classes and offer the potential for asymmetric risk/return profiles. The Strategy will seek limited Bitcoin exposure via CME Group Bitcoin and Ethereum futures contracts. In the future, if the regulatory landscape for these assets becomes more clear, we may add other crypto assets, and likely apply our ensemble approach to combine niche active managers implementing different trading strategies across the crypto landscape.

A portion of our gold exposure is held in physical gold, resulting in about 5% of the Cockroach Strategy currently sitting in physical gold bars. The remainder of the exposure is via Futures contracts.

I Like The Cockroach Portfolio Except I Don’t Like That You Included X, Can I Customize It?

Due to our structure, we are not able to customize the exposures inside of the Cockroach Strategy based on individual investors preferences.

Our Defense Strategy, Volatility Strategy, and Commodity Trend Strategy are available as standalones to give investors the ability to construct their portfolio as they see fit.

The Volatility Strategy is designed to act as a so-called ‘black swan’ investment, achieving asymmetric gains in times of high volatility or tail risk (e.g. March 2020). The Commodity Trend Strategy is designed to profit during inflationary periods (e.g. 2022) as well as during extended ‘crisis periods’ for stocks and bonds (e.g. 2008).

The Defense Strategy combines Mutiny Fund’s Volatility Strategy and Commodity Trend Strategy. It is intended for investors who wish to add a Defensive component to their own offensive assets such as stocks, bonds, and private equity.

Having said that, our view is that having a truly diversified portfolio means that you will almost always hate at least one thing in the portfolio. It’s not uncommon that the most hated asset will go on to perform the best: in the wake of the 1970s, many investors in the early 1980s didn’t want to include bonds in their portfolios. The media sometimes referred to bonds as “certificates of confiscation” in 1980. Then, the 1980s and 1990s ended up being a huge bull market in bonds.

We take no view on where interest rates or bond prices (or any other asset prices for that matter) will go, but rather focus on diversifying our income sub-strategy (as we do all other strategies) such that we do not feel overly exposed to any single asset or strategy.

In a sense, the Cockroach Strategy is designed to be the “least bad” portfolio rather than the “best” over any short term period. It is designed to have some asset which performs well in any macroeconomic environment, seeking to minimize drawdowns and maximize risk-adjusted returns without needing to predict macroeconomic regime changes. It is our belief that the key to being the best in the long run is more about trying to make sure you are never the worst over any short period.

How Often is The Portfolio Rebalanced?

The Cockroach Strategy will rebalance between its sub-strategies on a monthly basis.

Are there Capacity Constraints for The Cockroach Strategy?

We believe the main limiter to the scale and strategy capacity will be the capacity of the volatility strategy. We believe capacity constraints wouldn’t be experienced until around $1-2 Billion in assets under management in the Cockroach Strategy.

How Much Should I Allocate to The Cockroach Total Portfolio Strategy?

Of course, the question of how much you should invest is unique to your situation and nothing we say here is a substitute for speaking with a financial advisor or the use of your own judgment. Having said that, we can offer a few ways of how we personally think about it.

We personally view the Cockroach Strategy as a core liquid portfolio that can be effectively paired with illiquid alternatives such as Real Estate, Venture, or Private Equity.

For instance, an investor with a 50%/50% split between liquid/illiquid assets could allocate 50% of their assets to the Cockroach Strategy or similar total portfolio approaches and then use the remaining portion to diversify into illiquid alternatives and rebalance as those investments became liquid.

Investors that wanted to retain some of their liquid assets at another custodian could also do that and utilize whatever liquid strategy they deemed appropriate there.

One barbell-like approach would be to allocate 50% to the Cockroach Strategy of the Cockroach Fund, 25% to a diversified portfolio of liquid assets at a custodian (e.g. Schwab, Fidelity, TD Ameritrade) and 25% into illiquid alternatives such as Real Estate, Venture Capital, or Private Equity.

Of course, this is our personal view and investors should carefully consider the risks and use their own good judgment to make whatever allocation they deem appropriate.

How Does The Cockroach Strategy Compare to Philosophically Similar Approaches With Other Vehicles Like ETFs?

There are a number of other products with philosophically similar approaches to our Cockroach Strategy using a variety of structures. In particular, some investors prefer ETF structures for their simplicity and ability to hold them in existing brokerage accounts.

We have done a substantial amount of research on ETFs and other structures. Our research has indicated to us that the limitations which are inherent in an ETF substantially reduce the risk-adjusted performance of the strategy.

In particular, ETFs restrict the use of active managers. It is not possible, to our knowledge, to include active managers in an ETF structure. About half the Cockroach portfolio relies on actively managed long volatility and trend strategies.

As a result, substitutions or alternate approaches need to be taken for half of the portfolio. Our research and belief suggests that this significantly impairs the effectiveness and performance of the strategy. We believe that a structure which allows the use of active managers is ultimately better for investors. Additionally, because we primarily utilize commodity futures, we are able to be more capital efficient.

Though we are all about making it as easy as possible for investors and will continue to look at different vehicles, ultimately our goal is to build the most effective product and we believe our current structure best facilitates that.

We have also done a lot of work to streamline our onboarding and redemption process and generally find that it takes most investors about 20-30 minutes to go through the onboarding and 5 minutes to redeem.

What Is The Total Exposure Of The Cockroach Strategy?

The portfolio will have a target nominal exposure of 220%. This means that for a $100k investment that the investor will get $220k of nominal exposure to the different return drivers.

Approximate weightings exposure across the strategies in this example would be:

  • $50k Stocks
  • $50k Income
  • $50k Volatility
  • $50k Trend
  • $15k Gold
  • $5k Crypto Assets

How is the exposure greater than 100%?

We overlay the exposures on top of each other via the built in leverage of commodity futures,*1
which results in our exposure being roughly ~2.2x the assets of the strategy. We offer this level of exposure for two reasons.

For one, we believe that the use of modest leverage such as this across a well-diversified portfolio such as the Cockroach Total Portfolio Strategy is a better way to achieve return targets – as contrasted with taking more risks in an unlevered portfolio.

The whole idea of a well diversified portfolio is to achieve better risk adjusted returns which means either

  1. Provide the same return with lower risk, or
  2. Provide higher returns with the same risk.

If your diversification results in both lower return and lower risk, we believe the prudent approach is to add a modest amount of leverage to increase the return while remaining well within acceptable risk limits.*2

We believe this level of exposure will mostly “keep up” with more traditional portfolios (such as the 60% stock/40% bond portfolio) in good markets and significantly outperform these traditional portfolios in bear markets.

Consider a period where stocks and bonds are performing well but where the volatility and trend buckets are flat. In this scenario, the portfolio would perform roughly as well as a stock/bond only portfolio, while still carrying protection against a recession or inflationary period.

Further, there are cost savings to this approach for the investor. As the Fund’s fees are based on the cash invested, not the nominal exposure amount. That means that for the $225,000 of exposure gained through a $100,000 investment, the 1% annual management fee is just $1,000 instead of $2,250. This allows for investors to pay less fees in order to get the same level of exposure.

In sum, our research indicates that for a portfolio that is as highly diversified as the Cockroach strategy, this use of leverage keeps our risk within acceptable limits while allowing a more capital efficient and fee efficient solution for our investors.

*1 Because the bulk of the assets in the strategy are done using the futures markets, we just have to post margin to control the positions. What this looks like in practice is generally needing to post around 5% to 20% of the nominal size of the exposure as a “performance bond” in the account to put on and maintain those positions.

So, for example, you could get $1 million worth of futures exposure with just $200,000 in the account. Because of this natural leverage built into futures markets and the cash efficiency it affords – there is sufficient capital to put on exposures greater than the cash amount invested.

If you are unfamiliar with how futures contracts work, we recommend this presentation from Dr. Kathryn Kaminski beginning at 4:10 as a short introduction.

*2 See AQR’s explanation of leverage used in their risk parity strategy here for a more robust explanation of this logic.

How Were The Hypothetical Back Tests Performed?

Hypothetical performance for the Cockroach strategy going back to 1990 is available in our presentation for QEP investors.*3 The data sources and methodologies used are listed in the disclaimer at the end of the presentation. Generally speaking the results use actual sub-advisor returns from 2006-onwards, and index performance (such as Barclay Aggregate Bond Index) prior to that for each asset class.

We did NOT include bitcoin or other crypto assets in the results as we did not feel that its historical performance was realistic on a walk-forward basis. Instead gold is substituted for the bitcoin allocation in the backtest.

We chose to extend the back test to 1990 because we felt it was a long enough time period to show the robustness of the portfolio but generally a period where acceptable data sources are available.

For instance, options did not exist until the 1970s and so the estimated returns of an option strategy prior to that time involves hypothetically calculating what option prices would have been, had they been tradable. Similar challenges exist for our carry strategy, as well as parts of the trend strategy. We view that any backtest using hypothetical data (including our own) should be viewed as a useful toy model or “intuition pump” for thinking about portfolio construction rather than a reliable estimate of performance going forward.

The broad conclusion that we draw from our research and others is that investors are likely to improve their risk-adjusted returns from diversifying their portfolios from a more typical stock/bond focused portfolio to include substantial allocations to commodity and volatility strategies. We do not feel we nor anyone else has the ability to draw much more specific conclusions than that, nor do we believe that we are able to forecast returns or risk metrics.


3* These presentations are intended only for investors that qualify as “QEP.” If you aren’t sure if you qualify as QEP, you can see what that means here. Please note that the investment itself is available to all accredited investors. The QEP requirement is only required to view the hypothetical composite performance of our sub-advisors prior to Mutiny’s launch. Any accredited investor may invest.


What Is The Type Of Environment Where You Expect The Cockroach Total Portfolio Strategy To Struggle?

The Cockroach Strategy is designed to be the best liquid portfolio we can construct. It seeks to perform well in any macroeconomic environment. However, many investors benchmark performance to equities and we expect there will be periods where the Cockroach Strategy substantially lags equity performance and will outright lose money.

In the interest of helping set clear expectations, we’ve identified a few environments where we would expect Cockroach to struggle on both an absolute and relative basis.

Irrational Exuberance

A period of exuberance in equity markets with volatility, trend, gold and commodities all experiencing overlapping drawdown/flat periods is likely to result in underperformance of the Cockroach strategy relative to equities.

For example, the period from January 1999 to October 2000 where equities rose rapidly into the height of the dotcom boom would likely result in significant equity outperformance while we would expect the Cockroach strategy to be roughly flat or even slightly down.

In our view, these periods tend to set the stage and something will eventually have to give. To use the dotcom boom as an example, we would still expect the Cockroach portfolio to do well on a longer term horizon (say 5 years from January 1999 through 2004), while equities would have declined following the bust.

Though we believe that the Cockroach strategy will outperform over the long run, we fully expect that there will be multi-quarter if not multi-year periods of underperformance relative to certain common benchmarks such as the S&P or a 60/40 portfolio such as this one.

Mild Sell Offs

Another environment where we would expect the Cockroach strategy to struggle is a mild to moderate sell off across offensive assets. In general, the volatility component of the strategy is not intended to perform well in a move of less than -10% down in equity markets and not really accelerate until a -20% down move.

This means that it is very possible that you could see a -10% move in equities accompanied by similar drawdowns in bonds with the commodity and volatility strategies flat or even negative resulting in a meaningful drawdown for the Cockroach strategy.

One such historical example would be February 1994 to March 1995. In that instance, a surprise interest rate hike from the Federal Reserve sent stocks, bonds, gold, and volatility heading down. We anticipate that the trend portion could help in that type of environment but likely wouldn’t do enough to buoy the rest of the portfolio.

The Cockroach strategy is intended as a longer term investment and we expect that it would ultimately recover and do well over the subsequent five years. In our view, the assets we are using are fundamentally uncorrelated so eventually something will have to give and one will perform well.

Ultimately, we feel that the only lesson we can take from these scenarios is that even uncorrelated strategies such as the ones we use will sometimes go through periods where they become correlated and the portfolio suffers. This is to be expected and we fully expect such periods of underperformance and losses to occur in the future.

Though it is impossible to forecast, our expectation would be that these periods should be fairly short-lived compared to less diversified portfolios such as the more common 60/40 stock/bond portfolio.

What Are The Fees Charged By Mutiny?

For the Cockroach Strategy, the fee structure is a 1% management fee and 10% incentive fee.

We use a “high watermark” meaning investors are only assessed an incentive fee on net new profits. As an example, if you were to invest $100k and the value of your investment goes down to $95k then up to $105k, you would only pay the incentive fee on the $5,000 gain from $100k to $105k.

General Deep Dive

Updated: October 12, 2023

The following is designed to be informative in nature, but is not exhaustive and should not be considered apart from the full disclosures contained in the Fund’s offering memorandum. Any offer or solicitation of the Fund(s) may be made only by delivery of the Memorandum(s). There are no guarantees the strategy will perform as expected or designed, and any information described herein may change or evolve without notice. All discussions of costs relate solely to the U.S. Funds – Cockroach Fund, LLC and Long Volatility Fund, LLC. Investors into Mutiny Cayman Funds, Ltd. may be subject to other costs.

Which Strategy Should I Invest In?

The question of what you should invest in is, of course, unique to your situation. Nothing we say here can or should be considered a substitute for speaking with a financial advisor and the use of your own judgment. Having said that, we will offer a few ways of how we personally think about it.

In our opinion, the Cockroach Strategy is the best liquid total portfolio solution for those looking to maximize long-term compound growth while reducing drawdowns.

The way we look at it is that the best portfolio should perform across all major macroeconomics environments: Growth, Deflation, Decline and Inflation.

We believe that this requires roughly equal parts offense and defense.

Offensive assets would be assets such as public equities, angel, private equity, and real estate.

Defensive assets would be assets such as the Volatility Strategy, gold, commodity trend strategies, and cash.

The Cockroach Strategy seeks to provide exposure to a diversified ensemble of offense and defensive assets in a liquid portfolio.

The Firm Uses CME Bitcoin and Ethereum Futures, Not Cash Crypto.

In our view, Mutiny Funds’ other offerings including the Defense Strategy, Volatility Strategy, Volatility+Stocks Strategy, and Trend Strategy are best used as tools for investors which want to customize other parts of their portfolios within the Cockroach framework.

For instance, an investor that focuses on stock selection and wants discretion over the stock portion of their portfolio could do so as they see fit and use the Volatility Strategy and Trend Strategy to complement it and provide their defensive exposure.

Similarly, an investor focused on income from Real Estate may want to manage the Income component themselves through their real estate holding and could use the Volatility+Stocks Strategy as well as the Trend Strategy to round out the portfolio.

Of course, you may have differing views on what the appropriate portfolio construction is for your situation and should allocate using your own judgment.

In the Cockroach Strategy, we will automatically rebalance the assets each month. For investors wishing to implement themselves, we believe they must rebalance regularly to achieve the best results. This means adding to the strategies when they are losing money as well as redeeming when they are performing well.

If you are investing through a retirement account, the rebalancing can be difficult to do since sometimes new funds cannot be transferred in when you would like to and so the Volatility+Stocks Strategy or Cockroach Total Portfolio Strategy may be more appropriate as the rebalancing is done “in house.”

When Should I Invest?

We don’t believe in trying to time our exposures. For instance, Calpers missed a billion dollar payday in March 2020 when they redeemed their tail risk exposure just months before. Our philosophy is that investors should focus on building a balanced portfolio rather than trying to time macroeconomic trends.

Rather than engaging in market timing, we believe it is important to remember that the Volatility Strategy, Trend Strategy or any other component of the Cockroach Portfolio should be seen as part of a broader portfolio and viewed holistically.

There will be periods where Mutiny Funds’ Volatility Strategy or any long volatility strategy underperforms short volatility strategies and/or outright loses money. Similarly, there will be periods where Mutiny Funds’ Commodity Trend Strategy underperforms or suffers losses. However, what matters is how it is performing its role in the portfolio. If a long volatility strategy is struggling while the rest of the portfolio is doing well, that’s nothing to be unhappy about – indeed that is part of its role.

We strongly believe that the combination of long and short volatility strategies will produce the best risk-adjusted returns over the long run of a lifetime, a form of True Diversification.

What Counterparty Risks are There?

The principal sources of counterparty risk would be our bank, outside funds we are invested in, our futures brokers, and our securities brokers.

Mutiny Funds main bank is CIBC Bank USA, whose parent CIBC is the 11th largest bank in North America.

Funds are also held at StoneX, ADM, and Wedbush, the Futures Clearing Merchants (FCMs) which facilitate futures trading, who in turn hold assets not being posted to the exchanges at top tier banks such as BMO.

The funds held primarily at our FCMs are held as a so-called “performance bond”, effectively margin, against futures and options positions purchased and sold by the fund.

Per regulatory requirements, the money is held in StoneX’s customer segregated account, meaning it is for the benefit of the firms’ customers only, and not commingled with the firm’s capital or rehypothecated as happens in a fractional reserve system. Additionally, StoneX, our primary FCM, has National Futures Association (NFA) reporting requirements and is a publicly traded company that has all the scrutiny which goes along with being public.

The way that the Futures industry works is that only members of exchanges like the CME Group can transact with one another, and only after posting a “Performance Bond” to the exchange. Here’s the Chicago Mercantile Exchange’s explanation:

Performance Bonds, also known as margins, are deposits held at CME Clearing to ensure that clearing members can meet their obligations to their customers and to CME Clearing. Performance bond requirements vary by product and market volatility.

This protects against counterparty risk, with each trade having to be ‘pre-funded’ with the margin amount, and CME Clearing acting as the buyer for every seller and vice versa on every trade. They guarantee the other side of the trade by holding the performance bonds of each party to the trade.

Further, the exchanges have a ‘guaranty fund’ which is in place in case a clearing member loses more in a day than they had on deposit with the exchange and are not able to meet the ‘margin call’ for more money. As of March 31, 2023, The CME’s guaranty fund is $4,804,588,702. They have an additional $13 Billion ($13,212,618,930) in assessment powers where they can require the members (primarily Futures Clearing Merchants such as StoneX) to cover any shortfall in the guaranty fund. (Please see the CME Website for an up to date number)

Additionally, everything is marked to market every day, meaning the clearing members who had positions that lost money that day need to settle with the exchange against those who made money that day, with billions moving back and forth between the clearing members and the exchange each day to ‘clear’ and ‘settle’ these trades, even before the trade is officially closed out.

For instance, if a trader has a position move against them, then they are required to post additional margin if they wish to continue trading so that their counterparty knows they will be paid out in full.

Finally, not everyone who uses futures is a member of the clearing exchanges. The FCM’s solve this issue, with them owning the expensive membership, posting the margin requirements, and taking on the counterparty risk. The end customers, such as the Fund, use the FCM’s membership in exchange for a commission on each trade.

As noted above, when an FCM accepts customer money, that money must be held in a segregated account and only used to post margin to the exchange and settle trades between the FCM’s customers and other FCMs. The FCMs hold the entirety of their customer’s cash in this manner and are regulated so that the money isn’t rehypothecated or levered up. The FCMs also add their own capital to this customer pool, called excess capital, to act as a buffer against any one customer being unable to cover losses in their account.

In 2008 when the equity space saw a large amount of counterparty risk realized with firms such as Lehman going under, the Futures and Options space functioned as designed, without major disruptions to the workings of those markets or counterparties.

We specifically built our funds in the futures space because of the transparency, liquidity, and control present there via the centralized exchange model, in addition to layers of risk monitoring by introducing brokers and FCMs noted above. If you’d like to learn more about how Futures work, we believe this Khan Academy course provides a helpful introduction.

The intention is that the majority of our funds are held at either the bank or FCM as described above. However, we also have some funds at securities brokers for managers that trade securities and we have some 3rd party funds which have different counterparty risks. Our intention is to always limit this exposure, but we believe that, appropriately limited, it offers some additional diversification that improves the overall portfolio.

Additionally, we use 3rd party administrators for all our funds and auditors to try and eliminate any single point of failure.

What is the Liability Situation For Each of The Funds?

Investors in the Fund(s) are provided all the liability protections of a Delaware Limited Liability Company.

This means a Member cannot be individually subjected to margin calls and cannot lose more than the amount of such Member’s original investment and any profits earned thereon (which have not already been withdrawn).

What are the Other Risks and How Do You Think About Them?

If you want to move forward with an investment, you will see a full list of risks associated with the fund in the Private Placement Memorandum (PPM). The PPM is available upon request or will be supplied upon submission of our investor information form to proceed with an investment.

In addition to the counterparty risk controls highlighted above, we would note the following two risk control measures:

As much as possible, we use Separately Managed Accounts (SMAs) with most of our sub-advisors. Unlike investing in a fund, theser allow us to see their trading intraday and to put contract size limits that they are not allowed to exceed with the Futures Clearing Merchant (FCM).

Beyond the rebalancing benefits of diversification, we also use it to limit risk to any one manager with appropriate position sizing. Our ensemble approach to sub-advisors, strategies, and market micro structures seeks to mitigate the primary risks associated with any one sub-advisor or trading strategy.

What Compliance Policies are in Place?

The Co-managers have the following policies and procedures in place:

  • AML Policy
  • Additional Risk Disclosures
  • Material Conflicts of Interest Policy
  • Customer Complaints Policy
  • Disaster Recovery Plan
  • Discretionary Account Procedures
  • Do Not Call Policy
  • Electronic Mail Policy
  • Ethics Training Policy
  • Information Systems and Cyber Security Policy
  • NFA Self Examination Policy
  • Opt Out Notice
  • Privacy Policy
  • Promotional Material and Supervisory Procedures
  • Sales Practice Policy

All policies are available for review upon request.

When are the Fees Paid: Monthly? Quarterly?

Management fees for all strategies of all funds are 1% of assets under management per year.

The management fee is assessed monthly (1/12 of 1% each month).

Incentive fees crystallize and are paid quarterly and are specific to each strategy.

Please note that nothing said in this document constitutes tax advice and you should consult with a tax professional.

What is the Tax Situation For U.S. Investors?

For U.S. based investors, the majority (we estimate ~70%) of our trading for all Strategies is in futures markets and certain option trades which are considered Section 1256 contracts.

Under the U.S. tax code, Section 1256 contracts get special treatment where the total gain is treated as being 60% long-term capital gains and 40% short-term capital gains.

This is regardless of if the holding period is one minute or one year. Since many of our holdings (especially in the Volatility Strategy) are being actively traded with average holding periods of a few hours or days, this is advantageous to us, giving us a blended rate below the short-term capital gains rate.

Depending upon our managers strategies, it is possible that a portion may also take place in equities at the standard equity tax rates for short and long-term capital gains.

One primary difference between Mutiny and a mutual fund, ETF or stock is the 60% long-term capital gains and 40% short-term capital gains treatment as noted above.

The other primary difference is that it is marked-to-market (vs a mutual fund or stock which only has tax triggered at time of sale) so that taxes will be owed each year.

For example, an investor investing $1mm that then sees their investment appreciate to $1.1mm over the course of a year will owe tax on the $100,000 profit. As tax rates vary materially from state to state and based on personal circumstances, we leave it to the investor to do the ultimate calculation.

The Fund does not anticipate that it will make current distributions. Accordingly, each Member should have alternative sources from which to pay its U.S. federal income tax liability or be prepared to withdraw the needed amounts from the Fund.

If you have a self-directed IRA or solo 401k, we are able to take investments through a self-directed IRA custodian. This should have all the tax-deferral benefits of an IRA investment and so may make more sense depending on your individual situation. If you would like help setting up a self-directed IRA, please contact us

For investors whom it affects, we do not expect to incur any UBTI.

When Will US Fund Investors Receive Tax Documents and How Does the Process Work?

Investors will receive an audited annual report with financial statements, detailing the activity and financials for the overall Fund in which they are invested.

Investors will also receive a K-1 reporting their share of the prior year’s profits and losses for the Fund in which they invest. Here is an explanation of how K-1s work in a fund structure if you are not familiar.

Because our funds are invested in other funds, we have to wait until we receive final audited financial statements from those funds to compile the audited annual report and K-1. Those outside funds are not required to submit their audited financial statements with the regulators until March 31. We usually receive most of them around that time though it is typical for at least one or two of our managers to file an extension.

Once we have received the audited financial statements and K-1s from the other funds, we will work with our third party administrator, to put together the annual financial statement for Mutiny Funds, and then turn them over to our auditor and tax preparer, Cohen & Co., to perform their certified audit of the financials.

Once the audit has been completed, the annual report will be filed with the National Futures Association (NFA) and you will receive a copy. Typically this will be the end of June.

At the same time, the Cohen & Co. tax department will use the prior year’s financial statements to prepare the fund’s overall tax return and each investor’s individual K-1s. These will be sent out to you as soon as we receive them.

We will do everything in our power to get investors the K-1s promptly, but owing to the fact that we cannot begin our own process until we receive everything from our managers it is unlikely we will be able to send them out before June at the earliest. Based on prior years, investors should expect K-1s in August which would require filing an extension.

As a matter of practice, we will file an extension for Mutiny’s overall tax return, given the need to wait for the third party fund’s K-1s.

Do you have an Offshore Vehicle?

Yes, we have a Cayman Fund vehicle, the Mutiny Cayman Fund, Ltd. which acts as a feeder fund into our U.S. based funds.

What is the Difference Between the Cayman Fund and US Funds?

The Cayman Fund is intended exclusively for non-US persons. The primary difference between the Funds is their registrations, tax jurisdictions and allowable investors.

The Cayman Fund is registered with the Cayman Islands Monetary Authority (CIMA) and submitted its offering docs to them prior to launch, versus the US funds which do so with the National Futures Association.

The Cayman Fund is not under US tax jurisdiction and thus does not file a partnership return with the US government as the US Fund does. Finally, the Cayman Fund allows non-US investors to choose which of Mutiny’s investment strategies they wish to invest in, at which point that money is invested by the Cayman Fund into the applicable US Fund: Long Volatility Fund for our Volatility, Volatility + Stocks, and 2.5x strategies and Cockroach Fund for our Cockroach and Commodity Trend strategies.

The Cayman Fund is only available to non-US persons or entities with US persons as beneficial owners. That means:

  • You are not a U.S. citizen;
  • You do not have a U.S. permanent resident visa (“green card” in common parlance);
  • You do not spend “too many days” in the United States every year; and
  • You have not made a special election to be taxed as a U.S. resident.

If you are a non-US person or entity, it is our understanding that Cayman fund investors would not be subject to U.S. estate taxes as they are not investing into a US entity whereas individual investors into the US Funds would be subject to the US estate tax. Investors into the Cayman Fund are also not required to fill out a W-8BEN.

In regards to tax jurisdictions, please note that we are not tax advisors and none of this is tax advice and you should consult with a tax expert to determine the most appropriate course of action.

If you’d like to consult with your tax advisor, the info you likely want to pass on is that our US funds are structured as US LLCs (Delaware LLCs), taxed as a partnership and investors will receive a K-1 showing their share of partnership income/expenses each year. The Mutiny Cayman Fund, Ltd. is an exempted company under the Cayman Mutual Fund Act.

Please note that there is a slight increase in the effective fee level on the Cayman Fund since investors in it are paying the same fees as the investors into the U.S. fund plus the operational expenses of the Cayman Fund (e.g. cost of Cayman based audit and directors).

Can Offshore Investors Invest in the U.S. Fund?

We do accept certain non-US investors into our U.S. Funds, pending a few requirements.

We have non-US investors sign a W-8BEN which is essentially the investor representing that they are under a different non-US tax jurisdiction and will report their profit/loss to their local tax authority.

We also have non-US investors sign a side letter waiving their right to any US based income in the form of FDAP income (dividends or interest) which would trigger a withholding requirement by the fund. The funds are not designed to produce any such income, and as such we believe it will be a de minimis amount, if ever realized. This side letter attempts to prevent non-US investors from needing to file any U.S. tax forms such as the 1042 withholding form for any de minimis income. Interest from T-bills shouldn’t generate FDAP or ECI income for non-US investors.

We are unable to comment on the tax situation with specific countries as it’s outside our scope of expertise. If you’d like to consult with your tax advisor, the info you likely want to pass on is that both funds are structured as US companies (Delaware LLCs) and investors will receive a K-1 showing their share of partnership income/expenses each year.

Non-U.S. residents could also be subject to the U.S. estate tax. This applies only if an investor should pass away while invested in the fund as an individual. Investments via an entity are typically not subject to the estate tax as the entity does not pass away. One option if you are investing as an individual is to get a life insurance policy that would cover any taxes owed which is typically fairly affordable (depending on one’s age).

Non-U.S. investors will also need to sign a form that explains how you found out about us and confirms we did not actively solicit your investment in your home country.

Of course, nothing we say here is or should be considered tax advice.

Addendum: If you are a non-US person but have a Social Security Number or US Tax ID (e.g. if you were a U.S. resident at some point), please notify us of this prior to investing so we can accommodate your situation appropriately.

What is the Process for Investing If I Decide to Do So?

If you move forward with an investment, the subscription process should take about 15-20 minutes.

The steps are:

  1. Submit your information (est. 10 minutes) – To make the process smoother for you, we can pre-populate your subscription agreement to make the process smoother. In order to put your docs together, we will need you to complete our investor information form. If you prefer to do it yourself, let us know and we can send you the blank subscription agreement for you to fill out.

    Filling out the form is not binding. We will not consider your subscription active nor ask you to wire funds until you have received, reviewed and signed off on the offering memorandum.

  2. (For US Investors) Verify your accreditation (est. 5 minutes) – If you list a CPA, Lawyer or Financial Advisor in the investor information form, we will automatically email them on your behalf. If you do not have anyone that can verify your accreditation then we are able to accept accreditation from services Accredd and Parallel Markets. Non-US persons do not need to go through this process.

  3. We Pre-Populate Your Subscription Agreement – Once we’ve received your investor information form, we will pre-populate your subscription documents and send them to you for electronic signature along with the appropriate tax documents (W9 for U.S. investors or W-8BEN for non-U.S. investors).

  4. Review and Sign the Investment Documents – Review your pre-populated subscription agreement to confirm and sign.

  5. We get 3rd Party Administrator Approval (We do it) – Once you have had time to review the documents and sign them, we will countersign them and send them to our third party administrator for their approval. If necessary, the administrator may contact you directly asking for follow up information or documentation.

  6. Wire in Funds (5 minutes) – Once the administrator has confirmed that everything is in order, you will receive instructions to send either a wire or a check to our account at CIBC Bank for the amount of your subscription.
What are the Deadlines for Making a New Investment in a Given Month?

In order to make sure all investors receive a smooth onboarding experience, our deadlines for investment are:

Finalized Subscription Documents are due 8 business days prior to the end of the month at 11:59pm ET/8:59pm PT. This includes acknowledgements of receipt of PPM and OA, signed Subscription Agreement, photo identification, tax form, accredited investor letter, and any corporate/entity/trust related documentation (if applicable).

Any completed subscription agreements received later than 8 business days prior to the end of the month will be assigned to the subsequent month. (For example, if we do not receive final docs until June 22nd, the investment will be active as of August 1. If all completed docs are received by June 21st, your investment will go active July 1st assuming the wire also arrives in time).

If you submit our investor information form by the 10th of the month, we anticipate you will have plenty of time to get your accreditation verified (for US investors only) and supply other documents should they be needed. If information is submitted just before the deadline then it is likely that your investment will be assigned to the following month though we will do our best to include it.

Subscription funds (e.g. a wire transfer) must be received no later than 5 business days prior to the end of the month by 4:30pm ET/1:30pm PT in order to be active at the start of the following month.

Can I Invest Through My Existing Custodian Or Brokerage (E.G. Schwab, Fidelity, TD Ameritrade, Interactive Brokers, Etc.)?

We are able to accommodate clients of Registered Investment Advisors (RIAs) that use Schwab, Fidelity and TD Ameritrade through their RIA platforms.

We would love to be able to facilitate this for all investors. Unfortunately the major custodians and brokers we have spoken with do not enable investments into private funds.

The investment process would just require you to complete our subscription documents and send a wire from one of your existing accounts. Upon redemption, funds would be wired back to your account. You would be able to track the performance of the fund via monthly statements.

Are You Able to Accept IRAs?

Yes, we are able to accept investments via Individual Retirement Accounts (IRAs), but most commonly those assets will need to be outside of a corporate plan and set up as a self-directed IRA (sometimes called checkbook IRAs). Midland Trust is the firm we most frequently work with and they charge a flat annual fee (around $325 at time of writing) for funds under their custody.

Millenium and Kingdom Trust are the other firms we’ve worked with, though we are able to get set up with any self-directed IRA provider that you prefer.

One important difference between Mutiny and a mutual fund, ETF or stock is that it is marked-to-market (vs a mutual fund or stock which only has tax triggered at time of sale) so that taxes will be owed each year.

For example, an investor investing $1mm that then sees their investment appreciate to $1.1mm over the course of a year will owe tax on the $100,000 profit. Because of this, investments via an IRA account may be more tax advantageous for investors.

Please note that due to transfer times outside our control, it typically takes ten days (and can take up to 3 weeks) from the time you start setting up a self-directed IRA to when you are able to fund your account. Our IRA Onboarding document has more details on the process and timelines of getting set up.

In order to make sure all investors set up a self-directed IRA in time for a following month investment, our recommendations are:

  • Setting up a self-directed IRA and funding by wire: +/ – 9 days. Process to be initiated by the 15th of the month.
  • Requesting a Transfer from another IRA (e.g. eTrade, Schwab, Fidelity) with funds available in cash: +/ – 9 days. Process to be initiated by the 15th of the month.
  • Setting up a self-directed IRA and funding by check: +/ – 14 days. Process to be initiated by the 10th of the month.
  • Requesting a Transfer, funds are not in an IRA and need to be rolled over from an employer plan. +/ – 21 days Process to be initiated by the 4th of the month.
Are You Able to Accept 401ks?

We are not able to accept 401k plans provided through a company as it triggers ERISA regulations which we do not operate under.

We can take Solo 401ks if they are self-directed and not an ‘ERISA Plan”. The process would be the same as explained above in “Are you able to accept IRAs?” where you would need to choose a self-directed custodian and move your self-directed 401k account to them.

What Are the Liquidity Terms? How Quickly Can I Redeem or Add Funds?

In the normal course of business, we are able to offer monthly liquidity. That means that if we get 8 business days’ notice before the end of the month, we are able to send the majority of your funds the following month.

Typically, you will receive 90% of your funds back by the 15th of the following month.

For example, any request made before the March cut off (circa March 22nd) the ~90% wire would go out by April 15th. We do reserve the right to hold up to 10% of your investment until the next calendar year to finalize the audit and prevent any unnecessary back and forth, though this is not typical and we aim to finalize the full redemption within 30 days.

As a remnant of the financial crisis and people reading about gates and hedge fund lockups, some people worry about the impact of redemptions on other investors in the Fund.

In general, we are trading highly liquid markets and so do not anticipate any situation in which one investor redeeming would materially affect other investors.

In certain extreme circumstances, such as a delay in payments from 3rd-party funds, liquidity crisis, etc., the Fund may delay payment of redemptions until the Fund has sufficient assets to pay out those redemptions. We have never had an issue with this and do not anticipate this to be an issue.

To see a full list of risks associated with the Funds, please see the Private Placement Memorandum (PPM) which is available upon request or will be supplied upon submission of our investor information form to proceed with an investment.

If you are investing via a self-directed IRA custodian like Midland or Millenium, all redemption requests should be directed to Mutiny instead of an IRA in order to prevent delays.

How to Add and Redeem Funds

To add or redeem funds, please complete our change form.

In order to accept additional funds or new investments, we need to receive the wires with funding five (5) business days before the month to make sure we are able to deploy the funds to our managers in a timely manner so we ask that you submit the change form no later than eight (8) business days before the end of the month.

Forms received later than eight (8) business days before the end of the month and wires received later than five (5) days before the end of the month will be held for allocation the subsequent month. (e.g. If the wire is received May 29, it will be invested July 1 rather than June 1 as it was not received 5 business days prior to June 1).

If you are redeeming funds, please note there are two parts to the process:

First, your investment will be reduced/end as of the last day of the month the request is made (assuming it is done before the 8 business day cut off date). For example, if you request a redemption on May 15th, your investment will be liquidated by the amount requested on the last trading day of May.

Second, the 3rd party administrator has to calculate the monthly performance and finalize the accounting for that month before we are able to send the full amount of your redemption.

Because we need all of our managers to finalize their accounting before we can finalize ours, this is unlikely to be completed before the 20th of the month and usually happens around the 25th-30th. Given this, our standard practice is to wire out 90% of your estimated capital account amount around the 10th-15th wires of the month. The remaining 10% of funds would go out after accounting is finalized, usually around the end of the month. In our example here of a request made on May 15th, the first wire would go out around June 10th-15th with 90% of the value. The second wire would go out around June 30th with the remaining balance.

Please be advised that this means any redemption request received inside of eight (8) business days prior to the end of the month (say May 29th) would mean your investment would remain active through the end of the following month (June 30), and the withdrawal redemption amount would be wired out the month after that (July in our example).

When Will I Receive My Monthly Statement?

We anticipate you will typically receive your monthly statement around the 25th of the new month depending on how long it takes our sub-advisors to complete their monthly close process. We will also provide an estimate on the 1st of each month via our email distribution list which investors are automatically added to.

If you are not receiving the monthly estimate or the updated statement, please email

What Will My Monthly Statements Looks Like?

Each month, investors will receive a statement from our Third Party Administrator similar to the one below. Statements should come out around the 25th of the month. They will typically look similar to the below:

We have annotated the document with the blue text to explain each line item.

To help clarify what each of the line items represents:

  • Beginning Balance: the balance of your capital account prior to the beginning of the month.
  • Additions: any additions you made to your account that went into effect that month.
  • Redemptions: any redemptions from your account that went into effect that month.
  • Management Fees: This is the 1% management fee/annum that Mutiny charges to manage the assets. The amount taken out is annualized (i.e. 1/12 of 1% is paid monthly).
  • Performance Fees/Allocation (AKA Mutiny Funds/APA Incentive Fee): This is the incentive fee that Mutiny Funds charges based on our performance. This crystallizes quarterly.
  • Trading Advisor Management Fee (AKA Sub-Advisors Mgmt Fee): This is the management fee which our sub-advisors (the hedge funds we allocate to) charge. Likewise it is annualized (i.e. 1/12 of the annual amount is paid monthly). The amount varies from sub-advisor to sub-advisor.
  • Trading Advisor Incentive Fee (Sub-Advisor Incentive Fee): This is the percentage of gains that each sub-advisor takes on trading profits. This also varies manager to manager.
  • Operating Expenses: This is operating expenses incurred by the fund in the normal course of business. This reflects things like the annual audit, state filing fees and bank fees.
  • Net Income: The net gain or loss for your account in that month.

Please note that all our funds use a high watermark or benchmark. In the case of a high watermark, investors are only assessed an incentive fee on net new profits. As an example, if you were to invest $100k and the value of your investment goes down to $95k then up to $105k, you would only pay the incentive fee on the $5,000 gain from $100k to $105k.

This means that depending on when someone invests, they will receive different returns than someone who invested at a different time. We try to account for the high watermark in the public number in the Tortuga Times or first of month estimates email but given everyone began investing at a different time, there will likely be discrepancies between the public numbers and your statements. Your statement number is the one you should rely on for tracking your personal investment’s value.

Is There a Portal I Can Log In to View My Investment?

We can provide access to an online portal. Please note that the fund only strikes a Net Asset Value (NAV) once per month (around the 15th) so this number will not change other than the one day per month when we will also send out your statement via email. That means the portal will not give you any additional information to what you will receive via email, merely let you access it in your browser as opposed to in an email.

If you would like access to the portal as a reference then we are happy to facilitate that. Simply complete the form at the bottom of this page and select the “I want access to the portal with my monthly statements” option from the drop-down menu.

Who are Mutiny's Service Providers?
  • Fund Structure – The fund is a Delaware LLC operating as registered commodity pools and regulated by the National Futures Association. It is co-managed by Mutiny Funds [NFA ID: 0523924] and Attain Portfolio Advisors [NFA ID: 0339046].
  • Fund accountant/controller – NAV Consulting (Best Fund Administrator – 2023 Hedgeweek US Digital Assets Awards)
  • Auditor – Cohen & Co (Hedgeweek’s Best Audit Provider – U.S. Digital Assets Awards)
  • Tax preparer – Cohen & Co
  • Legal counsel – Howard & Howard, Jeffrey Barclay
  • Bank – CIBC
  • Compliance Consultant – RCM Alternatives

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