Futures Yield Explained: What RSSY Actually Owns

RSSY is the Return Stacked U.S. Stocks & Futures Yield ETF. The word “yield” in the name refers to futures yield, also called carry. Carry is the expected return from holding a futures position if the underlying spot price does not change. It is not a distribution rate, not a coupon, and not a substitute for cash income.

For every dollar invested, RSSY targets approximately one dollar of U.S. equity exposure stacked with one dollar of notional exposure to a long/short systematic carry strategy across commodities, currencies, equities, and bonds. That structure is capital efficient. It is also leveraged, derivatives-based, tax-complex, and capable of underperforming a plain S&P 500 fund by large margins for long stretches. Since its May 28, 2024 inception through April 30, 2026, RSSY has compounded at 13.18% per year versus 19.10% per year for a Vanguard S&P 500 ETF over the same window, with a maximum drawdown of -20.86% versus -7.56%.¹ That gap is exactly the kind of stretch a long-bias carry strategy can produce. It is also why understanding what is under the hood matters more for this fund than for most ETFs.

What futures yield actually is

Carry is one of the most-studied return components in academic finance. Koijen, Moskowitz, Pedersen, and Vrugt define carry as the ex-ante expected return of a security if its price does not change, and they document carry-based premia across global equities, bonds, commodities, currencies, credit, and options.² Carry is observable today. It does not require forecasting future prices. It only requires knowing the cost or benefit of holding a position right now.

For futures, the standard decomposition is:

Total futures return ≈ spot price change + roll yield + collateral yield − fees

Many investors assume futures funds make money when commodity prices rise. That is one component. The other two are often larger and less visible. Erb and Harvey’s long-running work on commodity futures showed that disappointing long-only commodity returns over multi-decade periods came primarily from the income components (roll plus collateral), not from spot price changes.³

Collateral yield

Futures contracts require margin, not full funding. The CFTC describes initial margin as a small percentage of contract value and a performance bond, not a stock-style down payment.⁴ That means most of the cash a futures fund holds against its positions sits in Treasury bills, money-market funds, or cash equivalents earning interest. Per RSSY’s prospectus, the fund and its Cayman subsidiary expect to invest approximately 25% to 100% of net assets in T-bills, money-market funds, cash, and cash equivalents as collateral.⁵ At a 4.5% T-bill yield, the collateral piece alone contributes meaningful return.

Roll yield

Futures contracts expire. To hold continuous exposure, a fund sells the expiring contract and buys a later-dated one. CME defines contango as the situation where the later-dated futures price is above the spot price, and backwardation as the situation where it is below.⁶ For a long position rolled into a more expensive contract (contango), the act of rolling subtracts from return. For a long position rolled into a cheaper contract (backwardation), it adds. The signs flip for short positions.

The carry strategy

A systematic carry strategy ranks markets by carry premium and takes long positions in markets with attractive positive carry and short positions in markets with negative carry. Per the prospectus, ReSolve Asset Management evaluates carry across commodities, currencies, equities, volatility, credit, and fixed income, and the fund holds long positions in instruments that pay a carry premium and short positions in those that have a negative carry premium.⁵ This is what makes carry distinct from trend following. Trend asks what a market has been doing. Carry asks what holding that market currently costs or pays.

Carry decomposition calculator

Adjust the contract prices, roll period, collateral yield, and fee level to see how the three components add up for a long position and for the opposite-direction short. The default inputs put the curve in contango with a 4.5% collateral yield and RSSY’s 0.99% prospectus expense ratio.

The calculator illustrates two things that matter for evaluating any carry-strategy fund. First, the same curve produces opposite roll yields for long and short positions, which is why a long-only commodity fund and a long/short carry fund can have very different outcomes from the same market. Second, fees and collateral yield are roughly constant, so when roll yield turns negative, the cushion is small.

Carry vs trend, anchored in real numbers

RSSY has a sister fund, RSST (Return Stacked U.S. Stocks & Managed Futures), from the same sponsor with the same equity stack. The alternative sleeve is different: trend following instead of carry.⁷ Both funds carry roughly 0.99% expense ratios, hold collateral in T-bills, and use a Cayman subsidiary for derivatives exposure.

Same year, opposite outcomes. In calendar 2025, RSST returned +19.97% while RSSY returned -2.97%. Through April 30, 2026, since their respective inceptions, RSST has compounded at 16.66% per year and RSSY at 13.18% per year. The S&P 500 returned 19.10% per year over the RSSY window. Sharpe ratios were 0.67 for RSST, 0.54 for RSSY, and 1.12 for the S&P 500.¹

Carry and trend tend to do well in different regimes. Trend captured the persistent moves of parts of 2025. Carry suffered when curve shapes shifted unfavorably and when several carry positions unwound together. Owning both has historically produced lower drawdowns than owning either alone, but a single cycle of live ETF data does not establish that pattern. What the live numbers do show is that carry and trend produce different return paths. Anyone choosing between RSSY and RSST is choosing a return source.

What RSSY actually owns

Per the April 27, 2026 prospectus and the issuer fund page:

• Two stacked strategies. A U.S. equity strategy targeting approximately 100% net asset exposure to large-cap U.S. equities, and a Futures Yield strategy with approximately 100% notional exposure to a long/short systematic carry book across commodities, currencies, equities, and fixed income. For every dollar invested, the fund seeks one dollar of equity plus one dollar of notional carry exposure.⁵
• Cayman subsidiary. The fund invests in its futures book either directly or indirectly through a wholly owned Cayman subsidiary, capped at 25% of total assets at quarter end. ReSolve Asset Management SEZC (Cayman) acts as futures advisor; ReSolve Asset Management Inc. is the non-discretionary sub-adviser.⁵
• Fees. Management fee 0.95%, acquired fund fees and expenses 0.04%, total annual fund operating expenses 0.99% per the prospectus fee table.⁵
• Inception, listing, distribution. Inception May 28, 2024. Listed on Cboe BZX. Distributions paid annually.⁵
• Net assets. $98.42 million as of May 5, 2026, per the issuer fund page.⁸
• 30-day SEC yield. 0.35% as of April 30, 2026, per the issuer fund page.⁸ This is a regulatory metric reflecting recent net investment income on a per-share basis. The “yield” in the fund name refers to carry, which is a strategy return source, not a cash distribution rate. Peer reviews often conflate the two.
• Portfolio turnover. 83% for the fiscal year ended January 31, 2026, per the prospectus.⁵ High turnover increases short-term capital gains exposure in taxable accounts.

The live track record so far

RSSY has been public for less than two years. The numbers below come from the prospectus and from independent monthly-return data through April 30, 2026 via Portfolio Visualizer/Morningstar.¹

• Calendar 2025: RSSY -2.97% vs S&P 500 Total Return +17.88%.
• Since-inception annualized through 12/31/2025: RSSY -0.88% vs S&P 500 +18.87%.
• Year-to-date through 4/30/2026: RSSY +29.95% vs S&P 500 +5.67%. The carry sleeve has rebounded sharply.
• Full window 6/1/2024 through 4/30/2026: RSSY 13.18% CAGR vs VOO 19.10% CAGR. Standard deviation 17.75% vs 12.49%. Maximum drawdown -20.86% vs -7.56%. Sharpe 0.54 vs 1.12.
• Correlation to the S&P 500 was 0.69 over this window. RSSY has been a noisier substitute for U.S. equity, not a low- correlation diversifier.

One full cycle is not a verdict on a return source that has decades of academic support. The 2026 rebound is also meaningful. But the live numbers should be visible alongside the prospectus and the marketing deck’s 1999–2024 backtest. A reader evaluating RSSY today is comparing a deeply backtested strategy against less than two years of real money.

Risks the prospectus calls out

These are summarized from the principal risks section of the April 27, 2026 prospectus, paraphrased. Read the full document before investing.⁵

• Leverage risk. Derivatives create additional investment exposure beyond the dollars invested. The prospectus warns that “you could lose all or substantially all of your investment in the Fund should the Fund’s trading positions suddenly turn unprofitable.”
• Models and data risk. The strategy depends on proprietary models. If the models are wrong, the resulting positions will be wrong.
• Cayman subsidiary and tax risk. The Cayman structure exists because direct futures income is not “qualifying income” under the Internal Revenue Code’s RIC rules. The IRS has revoked similar private letter rulings before. If the Subsidiary’s income were ever treated as non-qualifying, the fund could fail to qualify as a RIC, with material consequences for shareholders.
• High portfolio turnover risk. Frequent rolling of futures and dynamic position sizing produce a high turnover rate (83% in the most recent fiscal year), which increases short-term capital gains exposure in taxable accounts.
• Newer fund risk. RSSY has limited operating history, which constrains how much investors can infer about long-run performance.
• Equity market risk. Roughly half of the fund’s exposure is U.S. equity beta. The carry sleeve does not insulate the equity sleeve from equity drawdowns.

Tax treatment, in plain terms

Per the prospectus, RSSY distributions are taxable to shareholders as “ordinary income, qualified dividend income, or capital gains (or a combination)” unless held in a tax-advantaged account.⁵

Section 1256 60/40 treatment does not pass through to RSSY shareholders. A direct futures trader holding Section 1256 contracts gets 60% long-term, 40% short-term tax treatment regardless of holding period. RSSY shareholders do not. The fund holds futures inside a Cayman subsidiary, which converts non-qualifying futures income into RIC-eligible distributions at the fund level. What the shareholder sees on a 1099 is ordinary income, qualified dividends, and capital gains, in proportions determined by the fund’s actual flows for the year.

Taxable-account suitability depends on the year. High turnover and the lack of 60/40 pass-through make RSSY less tax-efficient than a plain index fund in a taxable account. A tax-advantaged account (IRA, Roth IRA, 401(k)) sidesteps the complexity. The prospectus is explicit that “frequent trading may also cause adverse tax consequences for investors in the Fund due to an increase in short-term capital gains.”⁵

Where RSSY could fit, and where it does not

Ask what RSSY would replace before asking what it would add. Adding RSSY on top of an already 100% equity portfolio increases effective equity exposure and adds a leveraged carry overlay. If an investor reduces their U.S. equity allocation by X% and replaces it with X% RSSY, they keep approximately the same equity exposure and add an X% carry overlay funded by leverage. The hurdle for that overlay to be additive is financing cost plus fund expense ratio plus tax drag. The return stacking hurdle-rate framework applies directly.

A satellite sleeve in the 0–10% range is the typical starting place for an investor who is comfortable with derivatives and leverage and who already understands the rest of their portfolio. Larger allocations require strong conviction in carry as a return source and a willingness to tolerate stretches like 2024–2025.

Investor profiles where RSSY is unlikely to fit: someone seeking cash income (the 30-day SEC yield was 0.35%, not the “yield” in the name); someone seeking lower volatility (the live record shows higher volatility than the S&P 500); someone who needs simple tax reporting (the high turnover and Cayman subsidiary structure create complexity); someone who would abandon the fund after a 12-month underperform stretch (which has already happened once).

Frequently asked questions

Is RSSY a bond replacement?

No. RSSY targets approximately 100% U.S. equity exposure in its equity sleeve. A bond replacement would reduce equity exposure; RSSY adds a carry overlay on top of equity. RSSY’s sister fund RSBY (Return Stacked Bonds & Futures Yield ETF) is the bond-stacked version of the same carry strategy.

How is RSSY taxed? Do shareholders get Section 1256 60/40 treatment?

No. RSSY is a regulated investment company (RIC). Shareholders receive distributions characterized as ordinary income, qualified dividend income, or capital gains. The Cayman subsidiary holds the futures positions and converts non-qualifying futures income into RIC-eligible distributions. Direct Section 1256 60/40 tax treatment is for traders who hold the futures contracts themselves, not for ETF shareholders.

What is the difference between RSSY and RSST?

Both are Return Stacked ETFs from the same sponsor with the same U.S. equity sleeve. RSST’s alternative sleeve is managed futures (trend following). RSSY’s is futures yield (carry). Trend follows price moves; carry follows curve shapes. They tend to do well in different regimes. RSST returned +19.97% in 2025; RSSY returned -2.97%.

Is the 30-day SEC yield the same as futures yield?

No. The 30-day SEC yield is a regulatory metric reflecting recent net investment income on a per-share basis. Futures yield (carry) is the expected return component embedded in futures pricing if spot does not move. RSSY’s 30-day SEC yield was 0.35% as of April 30, 2026. The carry strategy targets a different return number through a different mechanism, and that number is not directly observable from the SEC yield.

Should I hold RSSY in an IRA or a taxable brokerage?

Tax-advantaged accounts (IRA, Roth IRA, 401(k)) sidestep the high-turnover and ordinary-income complexity. A taxable account is workable but requires that the investor understands the tax reporting and is comfortable with higher short-term capital gains exposure. RSSY does not offer the 60/40 pass-through that a direct futures trader gets, so the taxable-account drag is higher than for a typical equity ETF.

Does RSSY use leverage?

Yes. The fund stacks approximately 100% U.S. equity exposure with approximately 100% notional carry exposure, both funded by the same dollar of capital. The prospectus discloses leverage as a principal risk and warns that investors could lose all or substantially all of their investment if the trading positions turn unprofitable.

Why has RSSY underperformed the S&P 500 since inception?

Two reasons. First, the S&P 500 had two strong years (2024–2025) and RSSY’s carry sleeve was negative enough to drag down the combined return. Second, carry strategies can have multi-quarter unwinds when several positions move against the model at once. The 2026 year-to-date rebound (+29.95% through April 30) is a reminder that the underperformance was regime-specific, not necessarily structural. One cycle is not a verdict.

Related guides

• Do You Need Return Stacking? covers the hurdle-rate framework for evaluating any return-stacked ETF, including RSSY.
• Do You Need Managed Futures? covers the trend-following sister strategy. Read it alongside this guide to compare RSST (trend) and RSSY (carry).
• Personal Leverage explains the mechanics of leverage that sit underneath every stacked-ETF product, including RSSY’s 1+1 structure.
• Covered Calls Are Not Free Income walks the same “yield is not income” lesson for covered-call ETFs (XYLD, QYLD, JEPI, JEPQ).
• The Four Deep Risks of Investing is the right backdrop for thinking about model risk and regime risk in any quantitative strategy.

Sources

1. Portfolio Visualizer. RSSY vs RSST vs VOO backtest. CAGR, standard deviation, drawdown, Sharpe, correlation, and monthly return data for RSSY, RSST, and VOO from June 1, 2024 through April 30, 2026, with fund fundamentals data sourced from Morningstar.
2. Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018). “Carry”. Journal of Financial Economics. The cross-asset carry framework and evidence that carry predicts returns in equities, bonds, commodities, currencies, credit, and options.
3. Erb, C. B. & Harvey, C. R. “Conquering Misperceptions about Commodity Futures Investing”. SSRN 2645444. Decomposes commodity futures returns into spot, collateral, and roll components and shows that long-only commodity disappointments came largely from the income side.
4. U.S. Commodity Futures Trading Commission. Economic Purpose of Futures Markets and How They Work. Definition of margin as a performance bond, daily mark-to- market mechanics, and the role of clearing.
5. Return Stacked ETFs (Tidal Investments LLC). Prospectus dated April 27, 2026. Return Stacked U.S. Stocks & Futures Yield ETF (RSSY) Fund Summary, pages 36–44. Investment objective, fees and expenses, principal investment strategies, principal risks, performance, management, tax information.
6. CME Group. What is Contango and Backwardation. Definitions and the convergence of futures prices toward spot at expiration.
7. Return Stacked ETFs (Tidal Investments LLC). Prospectus dated April 27, 2026. Return Stacked U.S. Stocks & Managed Futures ETF (RSST) Fund Summary, pages 45–53. Calendar-year performance, since-inception performance, and comparison to the S&P 500 Total Return Index.
8. Return Stacked ETFs. RSSY fund page. Net assets ($98.42M as of 5/5/2026), 30-day SEC yield (0.35% as of 4/30/2026), and CUSIP 88636J345.