$1bn Multi Asset VCA of 1000 stocks + 100 Futures

DPT Multi Asset 1100

1. Take the exact 1,000 equities from Phase 2.
2. Merge them with the 100 Liquid Futures continuous contracts.
3. Apply C4 Multi-Asset Rules:
   • Correlation Clustering: C4 must recognize that a BTD signal on AAPL and a BTD signal on NQ are correlated. It will cap the combined exposure.
   • Futures Roll Logic: Automatically roll futures contracts without generating false BTD/STR signals from the price gap.

• Return per Trade on Total NAV: 0.30% × 4% = 0.012% (1.2 bps)
• Total Annual Trades: 6,600
• The "X%" Annual Return: 6,600 × 0.012% = 79.2%