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Symphonies
Match SPY performance with KMLM
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily rule-based plan to mimic SPY via SPY or a SPY+KMLM+BIL mix; uses 10-day momentum to switch between SPY emphasis and a KMLM/cash blend.
NutHow it works
- Every trading day, compute the 10-day moving-average return (short-term momentum) for SPY and for KMLM. - If SPY’s 10-day momentum is higher than KMLM’s, use a portfolio that favors SPY exposure (i.e., emulate SPY’s performance). - If SPY’s 10-day momentum is not higher, switch to a mix that includes more KMLM exposure plus SPY and a cash-like position (BIL). - The cash-like allocation is handled with equal weighting within the cash component (wt-cash-equal). - Rebalance to these target allocations daily. - The overall asset class is equities, with SPY as the core equity vehicle, KMLM as a managed-futures diversifier, and BIL as a ballast instrument.
CheckmarkValue prop
Out-of-sample, this rule-based overlay reduces risk vs SPY: max drawdown 12.8% vs 18.8%, Calmar ~0.78, Sharpe ~0.86. Daily SPY/KMLM/BIL tilts diversify and dampen downturns while preserving upside.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.090.480.480.69
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
94.96%13.63%-1.77%0.2%0.84
Match SPY performance with KMLM
121.34%16.42%2.11%0.73%1.37
Initial Investment
$10,000.00
Final Value
$22,134.04
Regulatory Fees
$76.36
Total Slippage
$433.60
Invest in this strategy
OOS Start Date
Sep 23, 2024
Trading Setting
Daily
Type
Stocks
Category
Momentum-based tactical allocation using spy and kmlm with a cash overlay; daily rebalance
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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.

"Match SPY performance with KMLM" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Match SPY performance with KMLM" is currently allocated toBIL, SPYandKMLM. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Match SPY performance with KMLM" has returned 9.01%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Match SPY performance with KMLM" is 12.83%. 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 "Match SPY performance with KMLM", 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.