In one telling of the Caledonia origin story, Will Vicars is floating off the coast of Queensland in his yacht while negotiating better terms for a $US11.9 billion deal to merge the Chicago Board of Trade, where the fund is a major shareholder, with the Chicago Mercantile Exchange.

Vicars had been introduced to CBOT via a dinner Caledonia founder Mark Nelson had with John Murray, according to the Sydney stockbroker, in Italy in 2002. Murray had bought a membership – a sought-after position that allowed holders to trade at reduced fees – and wondered if the recent digitisation of the ASX, which had resulted in an explosion of activity, could be applied in Chicago.