Does any one know, if a CTA, who is trading mostly futures and has let's say $100 mln under management, does hold most of it in T-bills (say $80 mln), because he really needs about $5 mln to $10 mln for margin at any one time (i.e. if he wants to take positions about as large as his capital under management)? I noticed most of the CTAs have annual standard deviation (volatility) about 30-40%, which means that they take slightly leveraged positions relative to their whole capital under management. This requires very little margin, so they could keep the excess equity in T-bills. Is this additional (risk-free) return added to their performance fee basis?