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Symphonies
Pareto's Portfolio (Publication Edition)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Rules-based “risk-on/risk-off” portfolio: hides in T‑bills on volatility spikes, owns recent winners among big US stocks when bonds beat cash, and otherwise rotates into commodity and bond ETFs to stay defensive.
NutHow it works
1) If fear spikes: If VIXY (a volatility ETF) jumps fast (RSI>75; RSI is a short‑term “speed” gauge), move 100% to BIL (1–3 mo T‑Bills). 2) Else, compare last 60 days: if BND (broad US bonds) beat BIL, go risk‑on—split across S&P/Nasdaq/Dow buckets and buy the top 3 recent winners in each (20‑day momentum), equal‑weighted. 3) If bonds didn’t beat cash, go risk‑off—50% in the 2 strongest commodity funds and 50% in the 3 strongest bond/cash funds.
CheckmarkValue prop
Out-of-sample Sharpe around 1.48 vs 1.33 for the S&P, annualized return ~28% vs ~21%, Calmar ~1.32. Combines risk-off cash triggers with momentum rotations in mega-cap leaders for higher upside with disciplined risk vs the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.230.420.150.39
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
243.99%14.8%6.16%5.09%0.83
Pareto's Portfolio (Publication Edition)
1,081.75%31.78%1.05%-7.7%1.48
Initial Investment
$10,000.00
Final Value
$118,175.04
Regulatory Fees
$890.36
Total Slippage
$5,553.60
Invest in this strategy
OOS Start Date
Jul 9, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical asset allocation,momentum,risk-on/risk-off,volatility filter,equities,commodities,bonds
Tickers in this symphonyThis symphony trades 56 assets in total
Ticker
Type
AAPL
Apple Inc.
Stocks
ADBE
Adobe Inc.
Stocks
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
AMD
Advanced Micro Devices
Stocks
AMGN
Amgen Inc
Stocks
AMZN
Amazon.Com Inc
Stocks
AVGO
Broadcom Inc. Common Stock
Stocks
AXP
American Express Company
Stocks
BA
Boeing Company
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill 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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toMETA, AVGO, AMZN, UNH, GS, AMDandCAT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 20.86%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 21.33%. 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 the symphony, 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.