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 module to test those rules against your trade history.

Name	Type	Status	Return	Drawdown	Recovery
Follow The Supertrend	Direction	Alpha
No Short	Direction	Beta
Not Overextended	Direction	Live****	+0.22%	-0.09%	0
Level - Distance to Market Price	Level	Live****	N/A	N/A	N/A
Stop - ATR Based	Stop	Beta
Stop - At Support	Stop	Beta
Limit - At Resistance	Limit	Beta
Size - Capital at Risk	Size	Live	N/A	N/A	N/A
Size - Capital Invested	Size	Beta
Backtest	Generic	Live	N/A	N/A	N/A
Minimum Timeframe	Generic	Alpha
Risk Reward Ratio	Generic	Live	N/A	N/A	N/A
Unusual Price Action	Monitoring	Alpha	+0.8%	-14.1%	-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	Volatility	Live	+3.53%	+11.8%	+2 day
Volatility	Volatility	Live	+4.67%	+9.78%	0 day
Risk Parity	Volatility	Live	-4.65%	-11.1%	-3 days
Equal Weights	Generic	Live	0%	0%	0 day
Max Sharpe	CVAR	Live	-6.12%	-22.9%	-85 days
Diversified Min Risk	CVAR	Live	-7.09%	-23.3%	+47 days
Min Risk (CVAR)	CVAR	Live	-8.45%	-25.1%	-34 days
Max Diversification	CVAR	Beta
Risk (Targeted Return)	CVAR	Alpha
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 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 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