Margin Risk
margin_riskLeverage and margin-stress factor capturing crowded, liquidation-prone positioning.
How the factor is constructed
The factor capitalizes on the tendency of assets with higher at-risk-of-liquidation positions to underperform less leveraged assets. It predicts positions vulnerable to forced closure at 1%, 2%, 5% and 10% deviations from the current price, aggregated from the top ten most reputable exchanges.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Margin Risk vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Margin Risk's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -1.99% | -14.73% | — | — | -4.4% |
| 3 months | +2.44% | +1.28% | — | — | -4.4% |
| Year to date | +2.00% | -22.25% | — | — | -6.7% |
| 1 year | +12.35% | -32.08% | 12.1% | 1.11 | -6.7% |
| Since inception | +284.50% | +858.10% | 13.6% | 1.61 | -12.2% |