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Symphonies
Backtest - Sector Reversion & Beta Flipping (Quarterly)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Quarterly 401(k) rotation: buy recently beaten‑down sectors (U.S. and global) and Treasuries, add diversifiers (gold, commodities, managed futures via DBMF/KMLM), and use a small trend‑driven sleeve that toggles leverage (UPRO) or defense (VEU/bonds).
NutHow it works
Every quarter it splits your money into sleeves: 1) Buy the sectors that fell the most recently (U.S. and global) and sometimes Treasuries, aiming for a bounce. 2) Hold diversifiers: gold, broad commodities, and managed‑futures funds (DBMF, KMLM) that often move differently than stocks. 3) Add a trend/leveraged sleeve: if the market’s short‑term trend is above its long‑term trend, use a 3x S&P 500 fund (UPRO); otherwise use broad international stocks (VEU). A small rotor flips between defensive bonds/market‑neutral and leveraged tech/healthcare, favoring what just lagged. Rebalances quarterly.
CheckmarkValue prop
Out-of-sample: ~12% annualized return with Sharpe 0.64 and Calmar 0.52, plus crisis hedges (gold, managed futures) and quarterly mean-reversion/leverage that diversifies and cushions the S&P 500 in volatility.

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Invest in this strategy
OOS Start Date
Jul 28, 2024
Trading Setting
Quarterly
Type
Stocks
Category
Sector rotation, mean reversion, trend, leverage, managed futures, treasuries, commodities, gold, global equities
Tickers in this symphonyThis symphony trades 34 assets in total
Ticker
Type
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
CURE
Direxion Daily Healthcare Bull 3X Shares
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
EDV
Vanguard World Funds Extended Duration ETF
Stocks
EXI
iShares Global Industrials ETF
Stocks
FMF
First Trust Managed Futures Strategy Fund
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
IXC
iShares Global Energy ETF
Stocks
IXG
iShares Global Financials 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.

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

The symphony is currently allocated toUPRO, ZROZ, DBC, VNQ, VDC, TECL, BTAL, FMF, EDV, GLD, VCRandVGT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 12.01%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 23.26%. 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, crypto, and options.