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Symphonies
Simons DBMF/KMLM switcher V2
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A rule‑based switch: defensive managed‑futures (DBMF or KMLM) when fear is up or KMLM is stronger, but when markets look calmer it may take short‑term shots in SVIX or 3× semis (SOXL) based on simple momentum/oversold signals.
NutHow it works
It owns one ETF at a time. 1) If SVIX (moves opposite stock‑market volatility) is below its 20‑day average—fear rising—own DBMF (diversified managed‑futures). 2) Otherwise, compare recent strength (RSI: 0–100 heat meter). If DBMF’s 60‑day RSI > KMLM’s 10‑day RSI, buy the more “oversold” (lower RSI) of SVIX or SOXL (3× semis). Else, own KMLM. Note: SVIX/SOXL are very volatile.
CheckmarkValue prop
Volatility-aware switching offers diversification and potential downside control when markets wobble, hedging stock risk. Note: out-of-sample results show negative annualized returns and larger drawdowns versus the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.551.340.170.41
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
89.61%16.77%1.36%13.5%0.98
Simons DBMF/KMLM switcher V2
1,166.9%85.01%17.75%16.49%1.37
Initial Investment
$10,000.00
Final Value
$126,689.77
Regulatory Fees
$491.50
Total Slippage
$3,606.28
Invest in this strategy
OOS Start Date
Sep 2, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Trend-following, managed futures, momentum, volatility regime, tactical switching, leveraged etfs
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
DBMF
iMGP DBi Managed Futures Strategy ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SVIX
-1x Short VIX 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.

"Simons DBMF/KMLM switcher V2" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Simons DBMF/KMLM switcher V2" is currently allocated toSVIX. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Simons DBMF/KMLM switcher V2" has returned 2.35%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Simons DBMF/KMLM switcher V2" is 34.06%. 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 "Simons DBMF/KMLM switcher V2", 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.