Release Notes

18min

Feedback

Do not hesitate to provide us with feedback from the support section on your account ot the contact form on the main page.

Pipeline

  1. Private instances: ability to run our engine privately
  2. Introduction of pure Diversification algorithm
  3. Introduction of Fixed Income risk factors
  4. Suggested instruments for diversification
  5. 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
  6. Trading Risk App: ability to save and monitor setups
  7. Portfolio monitoring: Unusual Price Action
  8. Coverage and model for Fixed Income
  9. Coverage for Warrants / Options
  10. Coverage for Futures
  11. Non-Linear Optimisation engine for preference driven investment

2024-10-05 Release 1.1

  • Introduction of Benchmark Tracking algorithm
  • New MantaRisk Website
  • Multiple bug-fixes

2024-09-08 Release 1.0

  • Portfolio Construction Application
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  • Constraints Based Optimisation: ability to constaint portfolio construction based on geographies, sectors, currencies and individual instruments
  • Integration with WealthArc

2024-06-30 Release Candidate 0.5

  • 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

2024-06-02 Release Candidate 0.1

  • Introduction of API health monitor to ensure fast response from support team
  • Extensive functional testing pass 1 out of 3 completed

2024-04-24 Beta 3.2

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.

2024-04-06 Beta 3.1

  • Benchmark endpoint: given two time series (actual and benchmark), provides alpha, beta, idiosyncratic risk etc

2024-03-31 Beta 3.0.1

  • 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)

2024-03-21 Beta 3.0

  • 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
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2024-03-04 Beta 2.0.1

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

2024-03-03 Beta 2.0

  • 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
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2024-02-02 Beta 1.9

Draft UI to analyse a portfolio management strategy made available to API users.



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2024-01-27 Beta 1.8

  • Migration of tactical engine to target state infrastructure with high CPU capacity
  • Removal of 30 second timeout constraint (504 / H12 error) on all endpoints

2024-01-26 Beta 1.7

  • 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

2024-01-07 Beta 1.6

  • 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

2023-12-17 Beta 1.5