Portfolios

Blend risk parity with carry.

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1.0% carry

Exposure balance sheet

Gross — · Net —
Assets Long —
Liabilities Short —
Equity Net —
ShortLong
Equity Rates Currencies Commodities
Margin proxy —Free collateral —

Notional view. Margin proxy assumes 10% of gross futures exposure; actual exchange and broker requirements vary by contract.

Allocations

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ContractDescriptionCarry RP implied μRP weight Optimal weightAsset class