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Symphonies
10D CR KMLM
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Binary switch: use KMLM’s 10‑day return as a signal. If KMLM is down >~2%, go 100% into SVXY (short volatility). Otherwise, hold BIL (T‑bills). High risk when in SVXY; otherwise cash-like safety.
NutHow it works
It checks how KMLM (a managed-futures ETF) did over the last 10 trading days. If KMLM fell more than about 2% in that span, it puts 100% into SVXY (a fund that profits when market volatility calms). Otherwise, it sits in BIL (T‑bills). It only trades when this signal flips.
CheckmarkValue prop
Risk-controlled, signal-driven strategy that cushions downside: OOS drawdown 10.42% vs SPY’s 18.76%, Calmar ~1.13, and steadier risk-adjusted returns. It shifts to cash or SVXY to shield volatility, providing ballast to an S&P 500 core.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.220.290.120.34
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
94.96%13.63%-1.77%0.2%0.84
10D CR KMLM
278.19%28.99%0.27%3.13%1.83
Initial Investment
$10,000.00
Final Value
$37,818.84
Regulatory Fees
$71.43
Total Slippage
$456.33
Invest in this strategy
OOS Start Date
Aug 16, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical timing, short volatility, managed futures signal, cash/bills, rules-based
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
SVXY
ProShares Short VIX Short-Term Futures ETF
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.

"10D CR KMLM" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"10D CR KMLM" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "10D CR KMLM" has returned 12.59%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "10D CR KMLM" is 10.42%. 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 "10D CR KMLM", 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.