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Symphonies
VIXn' Short l BrianE Mod l Nov 2nd 2011
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily risk-on/risk-off volatility strategy: when short-term volatility has just eased, it leans into short-vol (SVXY) plus select equity sectors. If volatility recently rose, it either goes long vol (UVXY) when the market looks overheated, or parks in T‑bills (BIL).
NutHow it works
Daily check SVXY’s last 5-day return. - If it’s positive (volatility likely fell): hold a mix of SVXY + XLV + XLU + XLY, sized by which moved less over the last ~20 days (lower-vol gets more). SVXY is favored. - If it’s not positive: if SPXL’s 5‑day RSI > 75, buy UVXY; otherwise hold BIL.
CheckmarkValue prop
Out-of-sample edge: higher risk-adjusted returns with far smaller drawdowns than the S&P 500. OOS return ~23% annually vs ~21.7% for SPY; max drawdown ~9.6% vs ~18.8%; Sharpe ~1.34 vs 1.32; Calmar ~2.40.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.20.340.10.31
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
623.63%14.84%-0.15%0.4%0.91
VIXn' Short l BrianE Mod l Nov 2nd 2011
2,770.29%26.46%-2.68%-0.87%1.36
Initial Investment
$10,000.00
Final Value
$287,028.68
Regulatory Fees
$2,269.94
Total Slippage
$14,619.25
Invest in this strategy
OOS Start Date
Oct 31, 2022
Trading Setting
Daily
Type
Stocks
Category
Volatility timing, short volatility, long volatility hedge, tactical asset allocation, sector rotation, risk-on/risk-off, daily rebalanced
Tickers in this symphonyThis symphony trades 7 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x Shares
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures ETF
Stocks
XLU
State Street Utilities Select Sector SPDR ETF
Stocks
XLV
State Street Health Care Select Sector SPDR ETF
Stocks
XLY
State Street Consumer Discretionary 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.

"VIXn' Short l BrianE Mod l Nov 2nd 2011" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"VIXn' Short l BrianE Mod l Nov 2nd 2011" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "VIXn' Short l BrianE Mod l Nov 2nd 2011" has returned 20.80%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "VIXn' Short l BrianE Mod l Nov 2nd 2011" is 9.58%. 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 "VIXn' Short l BrianE Mod l Nov 2nd 2011", 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.