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Symphonies
Factor Alpha
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A monthly stock strategy that buys growth stocks when the broad market looks strong, and otherwise rotates into the 3 best-performing U.S. stock factor funds from the past month.
NutHow it works
Once a month, the strategy checks whether the U.S. stock market is in an uptrend by seeing if SPY (a fund tracking the S&P 500) is above its 120-day average price. If yes, it puts everything into IVW, a fund focused on faster-growing large U.S. companies. If not, it compares 5 “stock styles” and buys the 3 that did best over the last 21 days: momentum, quality, value, small-cap value, and low-volatility.
CheckmarkValue prop
Grow in up markets; diversify with top factor ETFs in down markets. Monthly, rules-based strategy delivering ~19.3% out-of-sample return, Calmar ~1.02, and ~18.8% max drawdown—nearly SPY risk/return with broader factor diversification.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.011.020.910.95
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
478.11%14.22%-1.04%-0.34%0.87
Factor Alpha
560.49%15.38%-7.16%-4.64%0.88
Initial Investment
$10,000.00
Final Value
$66,049.46
Regulatory Fees
$24.05
Total Slippage
$199.84
Invest in this strategy
OOS Start Date
Nov 2, 2022
Trading Setting
Monthly
Type
Stocks
Category
Factor rotation, trend following, tactical allocation, us equities, monthly rebalance
Tickers in this symphonyThis symphony trades 7 assets in total
Ticker
Type
IVW
iShares S&P 500 Growth ETF
Stocks
MTUM
iShares MSCI USA Momentum Factor ETF
Stocks
QUAL
iShares MSCI USA Quality Factor ETF
Stocks
RPV
Invesco S&P 500 Pure Value ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
USMV
iShares MSCI USA Min Vol Factor ETF
Stocks
VBR
Vanguard Morningstar Small-Cap Value 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.

"Factor Alpha" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Factor Alpha" is currently allocated toRPV, VBRandUSMV. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Factor Alpha" has returned 19.30%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Factor Alpha" is 18.84%. 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 "Factor Alpha", 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.
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