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

About

A daily‑rebalanced 15% sleeve that picks the two calmest funds from SVXY (short volatility), VIXM (long volatility), BTAL (defensive anti‑beta), and GLD (gold), based on the past 20 days, and splits the money evenly between them.
NutHow it works
Each day, look back 20 trading days and measure how bumpy (typical day‑to‑day swings) each fund has been. From SVXY, VIXM, BTAL, GLD, pick the two calmest and split this block’s 15% equally between them. Rebalance daily. SVXY: gains when market volatility falls VIXM: gains when volatility rises BTAL: defensive long‑low/short‑high risk stocks GLD: gold
CheckmarkValue prop
Defensive, diversified sleeve with daily rebalancing. Out-of-sample: Sharpe 1.09, annualized return 15.7%, max drawdown 14.9%, Calmar 1.05, negative market beta. Lower drawdowns and solid risk-adjusted performance vs the S&P.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.05-0.190.07-0.27
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
620.71%15.08%1.36%5.73%0.92
Volatility Block
26.52%1.69%-1.81%2.56%0.2
Initial Investment
$10,000.00
Final Value
$12,651.94
Regulatory Fees
$87.66
Total Slippage
$162.52
Invest in this strategy
OOS Start Date
May 8, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility targeting, defensive, alt risk premia, gold, market neutral, daily rebalance
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.

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

"Volatility Block" is currently allocated toGLDandVIXM. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Volatility Block" has returned 15.67%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Volatility Block" is 14.91%. 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 "Volatility Block", 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.