diff --git a/CHANGELOG.md b/CHANGELOG.md
new file mode 100644
index 00000000..24c04afe
--- /dev/null
+++ b/CHANGELOG.md
@@ -0,0 +1,25 @@
+# Changelog
+
+All notable changes to this project will be documented in this file.
+
+The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/).
+
+## 0.4.0 (October 20th, 2020)
+
+### Fixed
+
+* Fix type hinting for sqlite backend (#227)
+* Fix SQLAlchemy DDL statements (#226)
+* Make fetch_val call fetch_one for type conversion (#246)
+* Unquote username and password in DatabaseURL (#248)
+
+### Added
+
+* Use backend native fetch_val() implementation when available (#132)
+* Replace psycopg2-binary with psycopg2 (#204)
+* Speed up PostgresConnection fetch() and iterate() (#193)
+* Access asyncpg Record field by key on raw query (#207)
+* Allow setting min_size and max_size in postgres DSN (#210)
+* Add option pool_recycle in postgres DSN (#233)
+* Allow extra transaction options (#242)
+
diff --git a/databases/__init__.py b/databases/__init__.py
index 2e8c627f..4ed205c2 100644
--- a/databases/__init__.py
+++ b/databases/__init__.py
@@ -1,4 +1,4 @@
 from databases.core import Database, DatabaseURL
 
-__version__ = "0.3.2"
+__version__ = "0.4.0"
 __all__ = ["Database", "DatabaseURL"]