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Beastly Low Beta - Aug, 2022 | https://www.investorcollab.com
Today’s Change

A symphony is an automated trading strategy — Learn more about symphonies here

About

A contrarian, low-volatility stock picker: from a defensive list, it buys the 6 stocks that have fallen the most over ~3 weeks (low RSI) and weights them equally, aiming to catch rebounds while keeping overall market sensitivity lower.
NutHow it works
Starts with ~19 steadier stocks (heavy in healthcare plus staples, gold, energy; e.g., Vertex, Regeneron, Sprouts, Newmont, CME). Each run it looks at the last ~15 trading days and uses a simple “recent slump” score (RSI: lower = more beaten down). It buys the 6 lowest and splits money evenly. No fixed rebalancing; you refresh when the picks change.
CheckmarkValue prop
Defensive, contrarian picks of oversold stocks target rebounds with low beta and strong risk-adjusted gains. Out-of-sample: ~51% annualized vs ~46% SPY; Calmar ~6.0, offering higher upside with controlled risk.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.13
0.74
0.37
0.61
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
261.52%
15.41%
3.07%
6.63%
0.87
Initial Investment
$10,000.00
Final Value
$72,619.48
Regulatory Fees
$453.11
Total Slippage
$2,600.80
Invest in this strategy
OOS Start Date
May 9, 2025
Trading Setting
Threshold 3%
Type
Stocks
Category
Equities, low beta, mean reversion, rsi(15), equal-weight, long-only, defensive tilt
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type