Margin Risk
margin_riskAssets with higher at-risk-of-liquidation positions tend to underperform less leveraged assets.
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
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.38% | -9.25% | — | — | -3.2% |
| 3 months | -3.92% | +20.88% | — | — | -9.3% |
| Year to date | -2.07% | -13.58% | — | — | -9.3% |
| 1 year | +0.01% | -30.69% | 12.7% | 0.06 | -9.3% |
| Since inception (CAGR) | +21.00% | +41.35% | 13.5% | 1.47 | -12.2% |
Putting Margin Risk to work
There are two ways to take Margin Risk from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Margin Risk to an existing portfolio
Size a Margin Risk sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Margin Risk, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite — Margin Risk is one of its seven constituents, so its contribution is in the blend from the first run.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.