Finally, the NLX Portfolio is simply created by combining the 3 allocations all together:
- Stock : 12.5%
- Bond : 12.5%
- Gold : 12.5%
- Cash : 12.5%
- Cluster Equity : 12.5%
- Cluster REIT : 12.5%
- Cluster Credit : 12.5%
- Cluster Stress : 12.5%
- Singularis CTA Program : 50%
The cash available within the Permanent Portfolio (12.5%) is used as a deposit to allocate to the Singularis CTA Program, with position leveraged x4, that’s to say, 12.5% x 4 = 50%.
NLX Portfolio = PP (50%) + MP (50%) + AP (50% leveraged)
This means that for a capital of $100, I will allocate:
$50 to PP
$50 to MP
$50 to AP : Singularis program on leverage, using the cash available in the PP as a deposit
Be aware that most of the time, the Momentum Portfolio will have one or more of its clusters allocated to cash. Combined with the fact that Singularis has an average trade duration of 24 hours, the effective leverage of the overall portfolio will stay around 100%.
For assets over $1M, I recommand splitting the $500K which should have been allocated to a CTA strategy to 2/3 to a short-term CTA strategy (as SINGULARIS) and 1/3 to a long-term CTA strategy, preferably a trend following program.