Margin Risk
Market-Neutral
Derivatives Metrics
Single-Factor
Top 40 Market Cap
Tier 3
The factor capitalizes on the tendency of assets with higher at-risk-of-liquidation positions to underperform less leveraged assets.
Margin Risk predicts positions vulnerable to forced closure at 1%, 2%, 5%, and 10% deviations from the current price. Data is aggregated from the top 10 most reputable exchanges.
The asset universe consists of the most liquid and actively traded assets, identified on rolling basis - various techniques employed to keep it both stable and relevant, as well as survivorship-bias free.
To balance each asset's risk contribution, positions are scaled according to the inverse of their rolling volatility.
The factor is available (point-in-time) daily by 11:55pm UTC, assuming rebalancing at midnight UTC.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
0.77 | 1.86 | |
32.4% | 71.3% | |
0.00 | 0.58 | |
1.00 | 0.01 | |
-76.6% | -22.9% | |
59.2% | 31.6% | |
0% | 28.9% | |
100% | 26.5% | |
100% | 202.3% |
Sharpe Ratio
Rolling 12 MonthsBeta
Rolling 12 Months - Benchmark: BTCNet Exposure of Portfolio
Portfolio Variants
Current Weights
9/28/2025, 12:09:57 AM (UTC)
The portfolio is designed to be market-neutral on a volatilty-adjusted basis, therefore it may have net directional exposure on any given day. The weighting mechanism ensures that volatility-weighted directional exposure is negligible on the portfolio level.
| Ticker | Name | Arrival Price | Weight | Date |
|---|---|---|---|---|
| BTC | Bitcoin | 109691.781 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ETH | Ethereum | 4020.367 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| SOL | Solana | 203.605 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| XRP | Ripple | 2.807 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| DOGE | Dogecoin | 0.231 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| SUI | Sui | 3.18 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| BNB | Binance Coin | 968.93 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ADA | Cardano | 0.782 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| TRUMP | TRUMP | 7.572 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| LTC | Litecoin | 104.546 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| LINK | Chainlink | 20.928 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ONDO | ONDO | 0.885 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| AVAX | Avalanche | 28.777 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| DOT | Polkadot | 3.892 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| BCH | Bitcoin Cash | 544.059 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ENA | ENA | 0.578 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| PEPE | PEPE | 0.00000924732196 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| HBAR | Hedera | 0.213 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| TRX | TRON | 0.337 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| AAVE | Aave | 266.633 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| FIL | Filecoin | 2.191 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| TAO | Bittensor | 298.921 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| NEAR | NEAR Protocol | 2.731 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| UNI | Uniswap | 7.621 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| APT | Aptos | 4.225 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| TON | Toncoin | 2.71 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ETC | Ethereum Classic | 18.258 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| XLM | Stellar | 0.361 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| RENDER | RENDER | 3.38 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ARB | Arbitrum | 0.424 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| SEI | SEI | 0.278 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ATOM | ATOM | 4.116 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| VET | VeChain | 0.0218380295 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| POL | Polygon | 0.223 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| SHIB | SHIB | 0.00001181409888 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| JUP | JUP | 0.439 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ALGO | Algorand | 0.206 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| PENGU | PENGU | 0.0279173334 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| ICP | Internet Computer | 4.207 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| BONK | BONK | 0.00001911060506 USD | 0.00% | 2025-09-28T00:09:57.638537+00:00 |
| 0.00% | ||||
Properties
Cross-Sectional | |
Derivative Exchanges | |
400+ Tickers | |
Ratio | |
- | |
10 Day |
2024-01-01 | |
Daily | |
11:55pm UTC | |
Yes | |
4 x 3 | |
Yes |
Frequently Asked Questions
What is the construction methodology of the model portfolio on display? How do I replicate it?
The portfolio is constructed by applying cross-sectional binning - quantiles. This ensures that the weights are calculated in proportion to the strength of the factor. The assets are then weighted according to the inverse of their rolling volatility, to mitigate the impact of widely different volatilities of digital assets. We provide a replication notebook in the "Resources" section that will produce a very similar portfolio than what's shown on the site.
Is the raw factor data available?
Yes, we serve the raw factor data via the "portfolio/factors" endpoint, please see the API Docs for more information.
What is smoothing? Some factors have by default setting (eg. 10 Day Moving Average) applied. Why is that?
Some of the cross-sectional factors have very high turnover, and despite being highly predictive, the alpha does not survive transaction costs. Smoothing (applying a simple moving average) is a way to reduce the turnover and the impact of transaction costs.
What is the universe of assets? How is it determined? Is it survivorship-bias free?
The universe of assets (there are multiple variants, for example, top 20, 30, 40 market cap digital assets) is the most liquid and actively traded assets, identified on rolling basis - various techniques (volume, open interest, volatility filters) are employed to keep it both stable and relevant. The universe is survivorship-bias free.
What is the rebalancing frequency?
The portfolio is rebalanced daily, at midnight UTC, weights are calculated at 11:55pm UTC, and available point-in-time.
What are the transaction cost / slippage assumptions?
There are 0.05% transaction costs applied on each position adjustment. This is a parameter that can be adjusted in the backtest settings. Slippage, spread is not considered in the simplistic backtest that's on our site. We encourage using an independent backtesting infrastructure to validate performance.
When have been the factors developed? Is there an out-of-sample period?
Our cutoff date for our research process is 2024-01-01, we consider any data onwards as out-of-sample. Many factors have been traded live in some form from 2025-01-01.
Some of the factors look great! Should I pick an individual factor and start trading it?
We recommend using a portfolio of factors to maximize risk-adjusted returns. Alpha from individual factors is simply not consistent enough, and even running a simple arithmetic average of 3-5 relatively orthogonal factors will produce superior results.
Replication & API
Live Weights
Get live weights with the code provided below.