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Symphonies
Black Swan Catcher.SPY.Std.Dev
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A crash-catcher: mostly holds BIL (T‑Bills) and flips into UVXY when the S&P 500’s short‑term volatility crosses a high threshold, aiming to profit from market panics while avoiding UVXY’s decay in calm periods. Can whipsaw if signals are brief.
NutHow it works
It watches SPY (an S&P 500 fund) for sudden choppiness (how bumpy recent daily moves are). If that short‑term choppiness jumps above 6.5, it switches fully into UVXY—a fund tied to VIX futures that usually surges in panics. Otherwise it sits in BIL (1–3‑month T‑Bills, cash‑like). It only trades when that signal flips.
CheckmarkValue prop
Out-of-sample edge: ~23.4% annualized return with only ~3.2% max drawdown vs SPY’s ~18.8%; Calmar ~7.24 and negative beta. Higher risk-adjusted growth plus downside protection vs the S&P 500.

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Invest in this strategy
OOS Start Date
Oct 5, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tail-risk hedge, volatility timing, tactical allocation, vix futures, t‑bills, crash protection
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPY
SPDR S&P 500 ETF Trust
Stocks
UVXY
ProShares Ultra 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.

"Black Swan Catcher.SPY.Std.Dev" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Black Swan Catcher.SPY.Std.Dev" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Black Swan Catcher.SPY.Std.Dev" has returned 23.38%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Black Swan Catcher.SPY.Std.Dev" is 3.23%. 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 "Black Swan Catcher.SPY.Std.Dev", 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.