Aperiodic · AF-MRGN · FactsheetAs of Jul 24, 2026
AF-MRGN
Margin Risk
margin_riskAssets with higher at-risk-of-liquidation positions tend to underperform less leveraged assets.
CAGR
+22.70%
Ann. vol
13.5%
Sharpe
1.58
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.
Signals
Derivatives
Cross-sectional
Construction
Rank-weighted
Long / short
Risk
Vol-targeted
Inverse-vol scaled
Data
Point-in-time
Reproducible
Margin Risk
Performance & risk by period
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -1.10% | +5.12% | — | — | -2.3% |
| 3 months | -0.34% | -17.26% | — | — | -5.1% |
| Year to date | +1.50% | -27.77% | — | — | -6.7% |
| 1 year | +9.84% | -45.85% | 11.6% | 0.87 | -6.7% |
| Since inception (CAGR) | +22.70% | +39.55% | 13.5% | 1.58 | -12.2% |