Suppose you are given $10million to invest in futures and you are forming a futures portfolio. I've checked that the one with the highest margin rate is probably Wheat, it's about 1:9 The one with the lowest margin rate is probably Live Cattle, it's about 1:33. Therefore, on average, for a diversified portfolio with a basket of futures, the margin rate is about 1:20. The size of your portfolio can be measured by the total absolute margin sizes in USD you've put up (LONG + ABS(SHORT)). So with $10million cash, how much would you invest in the futures portfolio, lets say you aim at a 30% annual return?