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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

Monthly, rules-based US equity strategy: if the S&P 500 is in an uptrend, go 100% into a growth ETF (IVW). Otherwise, split evenly into the 3 factor ETFs with the best last‑month returns from MTUM, QUAL, RPV/VBR, and USMV.
NutHow it works
Each month: 1) Check if SPY (S&P 500 fund) is above its 120‑day average price (a simple “uptrend” test). If yes, put 100% in IVW (S&P 500 Growth—tilts to fast‑growing, often tech). 2) If not, buy the 3 ETFs with the best last‑month returns, split evenly, from: MTUM (recent winners), QUAL (strong, profitable firms), RPV (deep value), VBR (small value), USMV (steadier, lower‑vol stocks). Rebalance monthly.
CheckmarkValue prop
Out-of-sample edge: about 24.13% annualized return vs 22.87% for SPY, with similar max drawdown and Calmar ~1.28. In uptrends, growth tilt; in pullbacks, adaptive factor rotation - seeking higher upside with controlled risk.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.0210.910.96
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
412.51%13.94%-0.15%0.4%0.85
Factor Alpha
514.29%15.6%-0.17%-3.3%0.9
Initial Investment
$10,000.00
Final Value
$61,429.14
Regulatory Fees
$24.84
Total Slippage
$162.24
Invest in this strategy
OOS Start Date
Nov 2, 2022
Trading Setting
Monthly
Type
Stocks
Category
Us equities, factor rotation, trend-following, growth tilt, momentum, quality, value, small-cap value, low volatility, monthly
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 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 toIVW. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Factor Alpha" has returned 21.64%. 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.