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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

Uses KMLM’s 10‑day return as a risk gauge: if KMLM fell ~2%+, go into SVXY (benefits when market fear fades); otherwise sit in BIL (cash-like T‑bills). Binary, rules-based, aiming to profit in calm markets and avoid stress.
NutHow it works
It watches KMLM, a managed‑futures ETF that tends to rise in turmoil and fall in calm markets. If KMLM fell about 2% or more over the last 10 trading days, it buys SVXY—an ETF that usually goes up when market fear (VIX futures) eases. Otherwise it holds BIL, a T‑bill fund. Always 100% in one fund.
CheckmarkValue prop
Out-of-sample, the strategy shows far lower drawdowns (10.4% vs SPY's ~18.8%), solid risk-adjusted return (Calmar ~1.13, Sharpe ~0.76) and a low beta (~0.48). It offers smoother, downside-controlled exposure alongside the S&P 500.

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Invest in this strategy
OOS Start Date
Aug 16, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Rules-based etf rotation, volatility (vix) trading, risk-on/risk-off, tactical allocation, managed-futures signal
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 12.81%. 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.