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Symphonies
treasury switch
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily switch between SPY (broad US stocks) and XLP (defensive consumer staples) based on bond moves: if long Treasuries (TLT) dropped more than short Treasuries (SHY) over ~11 days, hold SPY; otherwise hold XLP.
NutHow it works
Each day it checks which Treasury bond fund had the bigger worst dip over ~2 weeks: TLT (long‑term Treasuries) or SHY (short‑term Treasuries). If TLT fell more than SHY, it holds SPY (broad US stocks). Otherwise it holds XLP (consumer‑staples, a defensive stock sector). It never holds TLT/SHY; they’re just the signal.
CheckmarkValue prop
Out-of-sample SPY/XLP rotation using TLT/SHY signals offers SPY-like upside (~23.87% annual) with Sharpe ~1.42, Calmar ~1.27, and max drawdown ~18.76%, plus built-in risk discipline vs SPY for defensive tilts in stress markets.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0111
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,032.71%10.85%-1.77%0.2%0.64
treasury switch
1,073.91%11.02%-1.77%0.2%0.65
Initial Investment
$10,000.00
Final Value
$117,390.83
Regulatory Fees
$10.12
Total Slippage
$63.72
Invest in this strategy
OOS Start Date
Oct 9, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical equity rotation, treasury-driven signal, risk-on/off, daily rebalance, us large-cap, defensive tilt
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks
XLP
State Street Consumer Staples Select Sector SPDR 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.

"treasury switch" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"treasury switch" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "treasury switch" has returned 21.53%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "treasury switch" is 18.76%. 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 "treasury switch", 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.