Release Notes
22min
Do not hesitate to provide us with feedback using the contact form on the main page (or from the support section on your MantaTrade account).
- MantaWealth - Performance Attribution Analysis UI: Feb 2025
- MantaAPI - Short positions: Feb 2025
- MantaAPI - Leveraged instruments: Feb 2025
- MantaAPI - Coverage and model for Fixed Income: Q1 2025
- MantaAPI - Coverage for Warrants / Options: Q2 2025
- MantaWealth - Factor based hypothetical portfolio stress testing
- MantaWealth - Expected returns according to Black-Litterman
- MantaAPI - Coverage for Futures
- MantaWealth / MantaAPI - Suggested instruments for diversification
- MantaTrade - Portfolio monitoring: Unusual Price Action
- MantaWealth - AI Risk Strategy Construction: given a set of portfolios, provides 3 optimised risk management strategies: one maximising performance, one minimising volatility and one "balanced", providing maximum performance to risk ratio.
- MantaTrade - ability to save and monitor setups
- All - Coverage for additional Crypto currencies
- MantaWealth - Non-Linear Optimisation engine for preference driven investment
- All - New account management system: subscriptions can now be directly purchased online through Stripe integration.
- All - Improved historical PnL calculation: PnL is now calculated against historical capital available as opposed to max capital required.
- MantaWealth - Minor UI improvements, security improvements (introduction of single use tokens)
- All - Private instances: ability to run our engine privately i.e. within your own architecture
- MantaWealth - Performance improvements
- Introduction of pure Maximum Diversification algorithm (Choueifaty and Coignard)
- MantaWealth - Instrument search UI fixes
- Introduction of Benchmark Tracking algorithm
- New MantaRisk Website
- Multiple bug-fixes
- Release of MantaWealth - our Portfolio Construction Application
- Constraints Based Optimisation: ability to constaint portfolio construction based on geographies, sectors, currencies and individual instruments
- Integration with WealthArc
- Improvements to API health monitor: 2 mins heartbeat, additional tests
- Extensive functional testing pass 2 out of 3 completed
- Backtesting FX conversions issue fixed
- Stale historical data issue fixed
- Improvement in exposure determination
- Alpha caculation now follows Capital Asset Pricing Model
- Performance improvements:
- Historical data for daily timeframe pre loaded
- Exposure pre calculated
- Portfolio Management Application MVP available
- Introduction of API health monitor to ensure fast response from support team
- Extensive functional testing pass 1 out of 3 completed
Publication of new endpoint for portfolio level analytics including:
- Correlation based exposure to sectors, countries and currencies
- CVAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- VAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- Volatility over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- Diversification ratio: metric used to quantify the level of diversification within a portfolio. MantaRisk uses the definition according to Choueifaty and Coignard (2008) where this ratio considers both the number of assets in the portfolio and the correlations between them. A higher diversification ratio indicates a more diversified portfolio, meaning the assets are less likely to move in the same direction, reducing overall portfolio risk.
- Expected return: defined as the average return over 5 years on a daily, weekly or monthly timeframe
- R Squared: proportion of the variance explained by the risk factors. 1 - R^2 is therefore equivalent to the idiosyncratic risk i.e. the portion of the portfolio which cannot be explained by the risk factors.
- Benchmark endpoint: given two time series (actual and benchmark), provides alpha, beta, idiosyncratic risk etc
- Bug fixes (single character instrument search, data source page)
- Increase of the memory pool from 4Gb to 20Gb to allow for large portfolios calculations (500+ instruments)
- Explainable Risk Factors: instrument analytics now provide the exposure of a specific instrument (or price curve) to sectors / countries / currencies
- New API users screen for strategy construction
New endpoint to provide instrument (or price curve) level analytics. Given a time serie, provides:
- (Correlation based exposure to sectors, countries and currencies) -> next release
- CVAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- VAR over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- Volatility over daily, weekly and monthly periods for the 2.5%, 5% and 10% quantiles
- New data source added, now covering 162,435 instruments across stocks, forex, crypto, funds, indices and ETFs. Global coverage including EU market at intraday level
- Performance improvements (co-location of services, local instrument search)
- New Day Trading UI available for Platform users
Draft UI to analyse a portfolio management strategy made available to API users.
- Migration of tactical engine to target state infrastructure with high CPU capacity
- Removal of 30 second timeout constraint (504 / H12 error) on all endpoints
- Backtesting performance improvement: migration of the portfolio risk engine to target state infrastructure with high CPU capacity
- Rebalancing methodology tuning - statistical testing of MantaRisk's risk management methodologies has started and has alread led to multiple algorithmic improvements
- Portfolio analysis performance improvement: pre-loading of latest prices
- Various bug fixes
- Release of the Backtesting Engine to allow the testing of risk management strategies for a given portfolio and period of time
- Improvement of Portfolio Analysis (GET /portfolio/analysis) to include advanced rebalancing (reduction of transaction costs caused by high number of trades)
- Introduction of order management within Portfolio Analysis. Open positions can now be added to the portfolio description (PUT /portfolio). These will be taken into account by the portfolio analysis (GET /portfolio/analysis) when suggested orders are sent back.
- Minor performance enhancements
- Various bug fixes
- Portfolio risk engine performance improvements
- Various bug fixes
Updated 21 Feb 2025
Did this page help you?