Portfolio Construction

inventory in this section you will find an inventory of all risk management rules alongside their state of development a risk management strategy can be composed by adding one or more rule together in our ui status live rules have been statistically tested and are final i e any new research concerning these rules will be embodied into new rules this is to ensure stability for users of the rule rules in alpha status are not yet released return denotes the avg improvement on yearly percentage returns this rule provide for instance if a portfolio returns 5% on a yearly basis and this rule has a return of +0 3%, the portfolio is expected to have an average yearly return of 5 3% after applying the rule drawdown denotes the avg % drawdown difference in the case of the covid crisis a negative value is good as it means the drawdown as been reduced by x% for instance, if this value is 5% and if the drawdown of the benchmark portfolio is 37%, then the drawdown of the same portfolio post risk management is expected to be 32% recovery denotes the difference in the time it takes for a portfolio to recover from the covid crisis in days a negative value is good as it means that the tactical risk management reduces the recovery time by x days for the full statistical test please refer to each rule's documentation tactical rules in this table you will find all the tactical risk management rules currently implemented in mantarisk values of n/a (not applicable) means statistical testing cannot be conducted on the rule for instance the rule may dependent on other factors to be functional e g risk reward ratio requires a stop and limit to be set which our testing methodology does not cover as it is focused towards long term investment please check out our trading analysis docid\ bngo6oxh dx26l31 jxvn module to test those rules against your trade history name type status return drawdown recovery follow the supertrend https //docs mantarisk com/direction rules#1vdiq direction alpha no short https //docs mantarisk com/direction rules#u16i direction beta n/a n/a n/a not overextended https //docs mantarisk com/direction rules#9nsgf direction live live +0 22% +0 22% 0 09% 0 09% 0 level distance to market price https //docs mantarisk com/level rules#dqgry level live live n/a n/a n/a stop atr based https //docs mantarisk com/stop rules#nllpj stop beta stop at support https //docs mantarisk com/stop rules#f9f3h stop beta limit at resistance https //docs mantarisk com/limit rules#icu5o limit beta size capital at risk https //docs mantarisk com/size rules#vekq5 size live live n/a n/a n/a size capital invested https //docs mantarisk com/size rules#3z7rc size beta backtest https //docs mantarisk com/generic rules#vf3c generic live live n/a n/a n/a minimum timeframe https //docs mantarisk com/generic rules#dcuua generic alpha risk reward ratio https //docs mantarisk com/generic rules#wtzlt generic live live n/a n/a n/a unusual price action monitoring alpha +0 8% +0 8% 14 1% 14 1% 50 days 50 days portfolio rules in this table you will find all portfolio rebalancing methodologies available on our platform these are only accessible to api users and are not available on our trading risk app since it focuses on single orders the equal weight rebalancing methodology is our benchmark against which we test other methodologies name type status return drawdown recovery atr https //docs mantarisk com/volatility based optimization#bdslt volatility live live +3 53% +3 53% +11 8% +11 8% +2 day +2 day volatility https //docs mantarisk com/volatility based optimization#tiklj volatility live live +4 67% +4 67% +9 78% +9 78% 0 day risk parity https //docs mantarisk com/volatility based optimization#h6q86 volatility beta 4 65% 4 65% 11 1% 11 1% 3 days 3 days equal weights docid\ dbz5yqmcwfkkxdd7kulrc generic live live 0% 0% 0 day max sharpe https //docs mantarisk com/cvar based portfolio optimization#fx3fm cvar live live 6 12% 6 12% 22 9% 22 9% 85 days 85 days diversified min risk https //docs mantarisk com/cvar based portfolio optimization#i0xdo cvar live live 7 09% 7 09% 23 3% 23 3% +47 days +47 days min risk (cvar) https //docs mantarisk com/cvar based portfolio optimization#f7tvn cvar live live 8 45% 8 45% 25 1% 25 1% 34 days 34 days max diversification cvar beta n/a n/a n/a risk https //docs mantarisk com/cvar based portfolio optimization#9maxx cvar alpha n/a n/a n/a factor based weigthing alpha n/a n/a n/a testing methodology overview 65 instruments have been selected to carry the statistical analysis of our tactical and portfolio rules these covers categories representative of typical portfolio compositions such as sectors, bonds, commodities etc (see below for the full list) 200 random portfolios ranging from 3 to 65 components are created at the back of these instruments ensuring a wide range of scenarios are covered through our testing the random generation is seeded so that every run is carried on a like for like basis the testing period starts on the 4th of november 2019 and ends on the 31st of october 2023 this ensures the testing covers a crash (covid, feb / mar 2020); a bull market (2021); and a bear market (2022) each portfolio is first run on a vanilla equal weights docid\ dbz5yqmcwfkkxdd7kulrc strategy before being run again on the same strategy but with the specific tactical risk management rule on top this process produces 412,800 data points (1032 candles x 200 portfolios x 2 runs) onto which the statistical analysis is carried do not hesitate to contact us if you would like more information on our testing testing universe name code sectors the energy select sector spdr fund xle materials select sector spdr xlb industrial select sector spdr xli consumer discretionary select sector spdr xly consumer staples select sector spdr xlp health care select sector spdr xlv financial select sector spdr xlf vaneck semiconductor etf smh spdr(r) s\&p(r) telecom etf xtl utilities select sector spdr etf xlu ishares u s real estate etf iyr bonds ishares 20+ year treasury bond etf tlt ishares national muni bond etf mub ishares iboxx usd investment grade corporate bond etf lqd ishares 7 10 year treasury bond etf ief ishares 1 3 year treasury bond etf shy ishares tips bond etf tip ishares iboxx usd high yield corporate bond etf hyg ishares fallen angels usd bond etf faln spdr bloomberg high yield bond etf jnk commodities spdr gold shares etf gld ishares silver trust slv united states natural gas fund ung united states oil fund uso invesco db agriculture fund dba teucrium corn fund corn invesco db base metals fund dbb abrdn physical palladium shares etf pall abrdn physical platinum shares etf pplt global x uranium etf ura regions ishares msci japan etf ewj ishares china large cap etf fxi ishares msci brazil etf ewz ishares msci taiwan etf ewt ishares msci germany etf ewg ishares msci hong kong etf ewh ishares core ftse 100 ucits etf gbp (dist) isf lon ishares russell 2000 etf iwm spdr s\&p 500 etf trust spy currencies eur/usd eur/usd jpy/usd jpy/usd gbp/usd gbp/usd chf/usd chf/usd aud/usd aud/usd cad/usd cad/usd btc/usd btc/usd eth/usd eth/usd esg waters corp wat invesco wilderhill clean energy etf pbw invesco solar etf tan vaneck circular economy ucits etf a usd acc eur reus dex global x hydrogen ucits etf usd acc hycn dex global x cleantech ucits etf usd acc ct3c dex deka msci usa climate change esg ucits etf d6rq dex ubs (lux) fund solutions msci world socially responsible ucits etf uimm dex lyxor net zero 2050 s\&p eurozone climate pab (dr) ucits etf acc epab par bnp paribas easy low carbon 100 europe pabâ® ucits etf ecn par ishares msci emu paris aligned climate ucits etf eur acc empa ams magnificient 7 apple inc aapl alphabet inc class a googl microsoft corporation msft amazon com inc amzn meta platforms inc class a meta tesla inc tsla nvidia corp nvda