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Symphonies
V1 BWC SPY Volatility Focus — Anti-Beta — Low Correlation
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Times volatility using SPY’s trend/strength: short vol in calm uptrends (SVIX), selectively long vol on quick dips (VXX/UVXY), and otherwise holds anti‑beta (BTAL) plus gold, energy, commodities, and T‑bills for low correlation. Rebalances daily.
NutHow it works
Daily it checks the S&P 500 (SPY). If SPY is above its 50‑day average, it mostly trades volatility: short volatility (SVIX) when the market is strong or rebounds, and occasionally long‑vol (VXX/UVXY/VIXM/VXZ) on brief dips. If strength fades, it shifts to an anti‑beta fund (BTAL) plus a small mix of gold, energy, commodities, and T‑bills. If SPY is below its 50‑day average, it holds that low‑correlation mix. RSI = speed of recent moves; MAs = average price.
CheckmarkValue prop
Out-of-sample annualized return ~27.9% vs SPY 22.2%, with a low SPY beta (~0.11) and meaningful diversification into volatility carry, anti-beta assets, gold and T-bills. Higher upside potential, but be mindful of larger drawdowns in stress periods.

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Invest in this strategy
OOS Start Date
Aug 26, 2023
Trading Setting
Daily
Type
Stocks
Category
Volatility timing, anti-beta/market-neutral, tactical momentum, low correlation, defensive/alternatives, daily rebalanced
Tickers in this symphonyThis symphony trades 12 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
COM
Direxion Auspice Broad Commodity Strategy ETF
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
SHV
iShares Trust iShares 0-1 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVIX
-1x Short VIX Futures ETF
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures ETF
Stocks
VIXM
ProShares VIX Mid-Term Futures ETF
Stocks
VXX
iPath Series B S&P 500 VIX Short-Term Futures ETN
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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toSVIX. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 27.93%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 39.29%. 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 the symphony, 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.