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

About

Daily, rules-based. When SPY trends up, it often shorts volatility (SVIX) but buys it briefly on dips; when momentum weakens or SPY trends down, it shifts to anti‑beta (BTAL) and diversifiers (T‑bills, gold, commodities, energy) for low stock correlation.
NutHow it works
Each day it checks SPY (the S&P 500 ETF). - If SPY is above its 50‑day average, short‑term “heat” (RSI, a hot/cold score) and 2‑ vs 5‑day EMAs flip between betting on falling volatility (SVIX) or brief spikes (VXX/UVXY/VIXM/VXZ). If momentum fades, it parks mostly in anti‑beta (BTAL) plus T‑bills (BIL/SHV), gold (GLD), energy (XLE) or broad commodities (COM). - If SPY is below trend, it holds BTAL and those diversifiers.
CheckmarkValue prop
Out-of-sample strength: ~54% annualized return, Sharpe ~1.37, Calmar ~2.65. Drawdown ~20% vs SPY ~19%, but with far higher upside and low correlation from a rules-based mix of volatility timing, anti-beta, and diversifiers.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.640.150.010.08
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
56.78%13.03%1.36%5.73%0.77
V1 BWC SPY Volatility Focus — Anti-Beta — Low Correlation
810.08%82.51%5.92%35.86%1.9
Initial Investment
$10,000.00
Final Value
$91,008.12
Regulatory Fees
$476.13
Total Slippage
$2,759.02
Invest in this strategy
OOS Start Date
Aug 26, 2023
Trading Setting
Daily
Type
Stocks
Category
Volatility timing, trend & momentum, anti-beta, market-neutral, commodities, gold, t-bills, energy, low correlation, daily tactical
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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 53.97%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 20.34%. 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, crypto, and options.