MarginNetBalance
Margin Net Balance — Chang Luo and Ren 2014
Liquidity
Quick facts
| Factor ID | MarginNetBalance |
| Display name | Margin Net Balance |
| Family | Predictor |
| Category | Liquidity |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Chang Luo and Ren 2014 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2023-06-21 – 2026-04-30 · 118,183 rows · 17.3% of panel |
Formula
rzye - rqye (margin buy balance minus short sell balance)
China adaptation
Net margin balance as a sentiment indicator; positive = bullish positioning.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 35 |
| Monthly mean | -0.1219% |
| Monthly std | 3.9867% |
| Annualized Sharpe | -0.11 |
| t-stat (simple) | -0.18 |
| Hit rate (months > 0) | 45.7% |
| Last 12M compounded | 0.33% |
| Cumulative wealth (start = 1) | 0.933 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.79% | 0.913 | 3406 |
| 2025-06 | -3.20% | 0.884 | 3412 |
| 2025-07 | +6.47% | 0.941 | 3443 |
| 2025-08 | +2.19% | 0.962 | 3442 |
| 2025-09 | -3.69% | 0.926 | 3447 |
| 2025-10 | -3.38% | 0.895 | 3459 |
| 2025-11 | +5.27% | 0.942 | 3460 |
| 2025-12 | -0.64% | 0.936 | 3476 |
| 2026-01 | -1.31% | 0.924 | 3483 |
| 2026-02 | -2.06% | 0.905 | 3488 |
| 2026-03 | +2.61% | 0.928 | 3491 |
| 2026-04 | +0.48% | 0.933 | 3467 |
Known data issues
None recorded.
Notes
Only covers margin-eligible stocks.
See also: Liquidity family, Factor library, Factor returns.