Portfolio Construction Strategies
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.
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 module to test those rules against your trade history.
Name | Type | Status | Return | Drawdown | Recovery |
|---|---|---|---|---|---|
Direction | Alpha | | | | |
No Short | Direction | Beta | N/A | N/A | N/A |
Direction | Live | +0.22% | -0.09% | 0 | |
Level | Live | N/A | N/A | N/A | |
Stop | Beta | | | | |
Stop | Beta | | | | |
Limit | Beta | | | | |
Size | Live | N/A | N/A | N/A | |
Size | Beta | | | | |
Backtest | Generic | Live | N/A | N/A | N/A |
Generic | Alpha | | | | |
Generic | Live | N/A | N/A | N/A | |
Unusual Price Action | Monitoring | Alpha | +0.8% | -14.1% | -50 days |
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 | Volatility | Live | +3.53% | +11.8% | +2 day |
Volatility | Live | +4.67% | +9.78% | 0 day | |
Volatility | Beta | -4.65% | -11.1% | -3 days | |
Generic | Live | 0% | 0% | 0 day | |
CVAR | Live | -6.12% | -22.9% | -85 days | |
CVAR | Live | -7.09% | -23.3% | +47 days | |
CVAR | Live | -8.45% | -25.1% | -34 days | |
CVAR | Beta | N/A | N/A | N/A | |
Risk | CVAR | Alpha | N/A | N/A | N/A |
Factor Based | Weigthing | Alpha | N/A | N/A | N/A |
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 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.
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 PAB® 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 |