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Symphonies
Simple volatility wrapper
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A two-asset volatility switch: stay in cash-like bonds while volatility is calm; jump into a volatility ETF when volatility spikes. Threshold can be 4.5% or 5%.
NutHow it works
Simple rules-based switch between two assets. 1) Look at SPY's price moves over the last 2 trading days and compute how volatile those moves have been (a simple volatility measure). 2) If that volatility is higher than the chosen threshold (4.5% by default, can be set to 5%), invest 100% in UVXY (an ETF that tends to go up when market fear or volatility spikes). 3) If volatility is not that high, invest 100% in BIL (an ETF of very short-term U.S. Treasuries, which behaves like cash with a small return). 4) There is no fixed calendar rebalancing; the change happens only when the volatility condition crosses the threshold, with a small buffer (corridor width) to avoid frequent switching.
CheckmarkValue prop
Volatility-timing strategy with strong risk control: similar long-run returns to the S&P 500, but far lower downside. OOS max drawdown ~3.23% vs ~18.76% for SPY; Calmar ~5.94; better risk-adjusted upside.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.19-0.390.08-0.27
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
669.43%15.2%-1.77%0.2%0.93
Simple volatility wrapper
350.52%11.01%0.27%0.86%0.54
Initial Investment
$10,000.00
Final Value
$45,051.93
Regulatory Fees
$20.61
Total Slippage
$141.82
Invest in this strategy
OOS Start Date
Jun 7, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Volatility timing, risk-off/risk-on, hedging, tactical asset allocation
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
UVXY
ProShares Ultra VIX Short-Term 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.

"Simple volatility wrapper" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Simple volatility wrapper" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Simple volatility wrapper" has returned 17.95%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Simple volatility wrapper" is 3.23%. 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 "Simple volatility wrapper", 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.