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Tangency Portfolio 4 06/26/2008
Today’s Change

A symphony is an automated trading strategy — Learn more about symphonies here

About

Broadly diversified core plus a rules-based sleeve: buy tech (QLD) on dips, rotate to Treasuries/cash when volatility spikes, and use simple trend checks to stay cautious. Holds gold, real estate, USD, and global stocks for balance.
NutHow it works
Mix of US/global stocks, Treasuries (short–long, plus inflation‑protected), gold, real estate, and the US dollar. A rules sleeve switches among: QLD (2× Nasdaq), Treasuries (IEF/TLT), defensive stock funds (XLP, VIG), or cash (BIL). It buys dips when QLD looks oversold (RSI = recent‑strength gauge), and goes risk‑off when short‑term volatility in QQQ/SPY jumps. Simple trend checks (bonds vs a “short Nasdaq” fund PSQ) decide QLD vs cash.
CheckmarkValue prop
Out-of-sample Sharpe ~2 vs ~1 for the S&P; drawdown ~6% vs ~19%; alpha positive and Calmar ~2.36. Diversified core with a tactical sleeve delivers stronger risk-adjusted returns and better downside protection than the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.04
0.12
0.2
0.45
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
528.97%
10.49%
3.07%
6.63%
0.6
155.58%
5.22%
1.25%
9.18%
0.96
Initial Investment
$10,000.00
Final Value
$25,557.66
Regulatory Fees
$0.00
Total Slippage
$1.00
Invest in this strategy
OOS Start Date
Oct 2, 2024
Trading Setting
Threshold 33%
Type
Stocks
Category
Multi-asset, tactical allocation, volatility filter, momentum, mean reversion, diversification, treasuries hedge, gold, real estate, usd, nasdaq tilt
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type