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Symphonies
10 CR of KMLM > 0 -> Go KMLM/BIL, ELSE SPY
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

If KMLM’s last 10‑day return is positive, split between KMLM (managed futures) and BIL (T‑Bills); otherwise hold SPY (S&P 500). It uses KMLM’s short‑term performance as a simple macro regime switch.
NutHow it works
Each day it checks how KMLM (a managed‑futures fund that follows trends in commodities, currencies, and interest rates) did over the last 10 trading days. If the gain is above 0, it puts ~50% in KMLM and ~50% in BIL (short‑term T‑Bills). If not, it goes 100% to SPY (S&P 500). It rebalances only when the signal flips or the 50/50 mix drifts by ~10%. In KMLM mode you’re exposed to trends in oil, gold, grains, currencies, and rates; in SPY mode you own large U.S. companies.
CheckmarkValue prop
Simple macro-switch strategy: when KMLM is up, split 50/50 with cash (BIL); otherwise, 100% SPY. Out-of-sample: ~20.2% annualized return vs ~18.8% for the S&P, lower drawdown (12.9% vs 18.8%), higher Sharpe (1.27) and Calmar (1.57).
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.160.360.250.5
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
102.39%14.22%4.09%0.87%0.87
10 CR of KMLM > 0 -> Go KMLM/BIL, ELSE SPY
196.35%22.74%-3.51%1.29%1.72
Initial Investment
$10,000.00
Final Value
$29,635.17
Regulatory Fees
$106.80
Total Slippage
$701.71
Invest in this strategy
OOS Start Date
Sep 18, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical asset allocation, regime switching, managed futures, momentum, risk management, equities vs cash, trend proxy
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 18.21%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 12.90%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in the symphony, simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, and options.