BASIS Annual Report 2017

BASIS finished the fiscal year of 2017 returning 4.71%. Unfortunately, that return was not enough to beat the index for the year. The strongest performing sector from a relative standpoint in 2017 was our Treasuries sector. Throughout the year, we were positioned for a bear flattener, which proved to be beneficial for us as the yield curve flattened significantly throughout the year. A major activity for BASIS this year was responding to a high number of tender offers, make-wholes, and calls. BASIS learned a lot from our performance this year and expects to see improvement in 2018.