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Symphonies
V3 BWC: Managed Futures
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily screen of five managed-futures ETFs using four filters (volatility, RSI momentum, drawdown, RSI again) to pick a single ETF to own.
NutHow it works
- Every day, look at five managed-futures ETFs: DBMF, KMLM, FMF, CTA, WTMF. - Stage 1: rank by the lowest standard deviation of returns over the past 20 days, pick 1 asset. - Stage 2: among the remaining, pick the asset with the lowest RSI over the past 10 days. - Stage 3: among the remaining, pick the asset with the smallest max drawdown over the past 20 days. - Stage 4: among the remaining, pick the asset with the lowest RSI over the past 14 days. - The final selected ETF is allocated to investment capital (daily rebalanced). In simple terms: the strategy progressively screens for stability, then conservative momentum, then downside risk, and finally a second momentum check, ending with a single best-fit fund to own each day.
CheckmarkValue prop
Out-of-sample, this daily, single-ETF picker among five managed-futures funds delivers better risk-adjusted performance than the S&P 500: higher Sharpe/Calmar, far lower drawdown (7.7% vs 18.8%), and a low beta for smoother diversification.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.130.10.040.21
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
64.77%13.85%-1.77%0.2%0.84
V3 BWC: Managed Futures
71.07%14.97%5.94%11.52%1.8
Initial Investment
$10,000.00
Final Value
$17,107.03
Regulatory Fees
$95.17
Total Slippage
$501.50
Invest in this strategy
OOS Start Date
Jan 9, 2024
Trading Setting
Daily
Type
Stocks
Category
Managed futures etf selection, risk-based screening, daily rebalancing
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
CTA
Simplify Managed Futures Strategy ETF
Stocks
DBMF
iMGP DBi Managed Futures Strategy ETF
Stocks
FMF
First Trust Managed Futures Strategy Fund
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
WTMF
WisdomTree Managed Futures Strategy Fund
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.

"V3 BWC: Managed Futures" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"V3 BWC: Managed Futures" is currently allocated toCTAandKMLM. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "V3 BWC: Managed Futures" has returned 13.24%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "V3 BWC: Managed Futures" is 7.73%. 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 "V3 BWC: Managed Futures", 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.