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 | -1.54% | +24.10% | — | — | -4.1% |
| 3 months | +0.19% | +17.86% | — | — | -4.1% |
| Year to date | +2.89% | -11.92% | — | — | -6.7% |
| 1 year | +11.40% | -32.28% | 11.6% | 1.07 | -6.7% |
| Since inception (CAGR) | +22.37% | +42.73% | 13.5% | 1.57 | -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.