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

About

A very aggressive market-timing strategy that flips between leveraged stock funds, volatility trades, and defensive diversifiers like KMLM, based on whether markets look overheated, oversold, or weak.
NutHow it works
This strategy is a fast-moving switchboard. It first asks: are parts of the stock market acting unusually hot? If yes, it may jump into a volatility fund (UVXY). If not, it looks for beaten-down aggressive areas like tech, semiconductors, or the S&P 500 and buys them for a rebound. If neither is true, it compares tech strength with KMLM, a managed-futures fund, and then rotates into either aggressive trades or more defensive holdings like KMLM, Treasuries, the U.S. dollar, or hedges. At the very top, it picks whichever one of several similar versions has had the steadiest recent behavior.
CheckmarkValue prop
Out-of-sample, ~74% annualized return vs ~23% for the S&P; Calmar ~2.0. A tactical overlay targets big upside with volatility and levered bets, balanced by diversifiers—though drawdowns can be larger than the S&P.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.441.930.160.4
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
39.4%23.28%-0.05%3.57%1.32
Simons KMLM sorter
134.32%70.99%-1.37%20.08%1.06
Initial Investment
$10,000.00
Final Value
$23,431.55
Regulatory Fees
$60.20
Total Slippage
$455.29
Invest in this strategy
OOS Start Date
Jul 22, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical asset allocation, volatility trading, leveraged etfs, managed futures, mean reversion, risk-off rotation
Tickers in this symphonyThis symphony trades 27 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
FNGU
MicroSectors FANG+ 3x Leveraged ETNs due February 17, 2045
Stocks
FTLS
First Trust Long/Short Equity ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
LABU
Direxion Daily S&P Biotech Bull 3X ETF
Stocks
QQQE
Direxion Shares ETF Trust Direxion NASDAQ-100 Equal Weighted Index ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
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 KMLM sorter" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Simons KMLM sorter" is currently allocated toTLT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Simons KMLM sorter" has returned 71.02%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Simons KMLM sorter" is 37.36%. 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 KMLM sorter", 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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