Using client strategy, aggregate data, and user input, X-Margin determines reasonable upper and lower thresholds of the scoring curves, and the slopes of the curves that determine each individual factor score. The current parameters are listed below, and will be adjusted periodically over time.
Last updated
| Factor | Ratio | High Ratio | Upper Limit | Lower Limit | Slope |
|---|---|---|---|---|---|
Portfolio Leverage
Liability / Portfolio Equity
Bad
4 - 20 (Dynamic)
0
1
Portfolio Equity
Portfolio Equity
Good
500
5
2
SPAN Risk
SPAN / Assets
Bad
0.2 - 0.4 (Dynamic)
0
1
Directional Risk
ABS Delta / Assets
Bad
0.5 - 1.5 (Dynamic)
0
1
Gross Risk
Gross Leverage / Assets
Bad
2 - 4 (Dynamic)
0.5
1
