Composer · investment strategy
by Composer Technologies · via Composer
Rules-based, monthly rotation. Ranks major asset classes by recent performance and holds the top five. Uses two simple “warning lights” to cut risk, moving into Treasuries or T‑bills when conditions weaken. Aims to participate in uptrends and defend in downturns.
Description from Composer
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
This strategy doesn’t publish a performance history we can chart.
Each rule is quoted word for word from the strategy's own documents.
No rules extracted from this strategy’s text yet.
No published holdings for this strategy.
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
No holdings on file, so nothing to test.
Strategies that share its Macro signals label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Composer Technologies · Composer
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
6 missing
The text the rules are quoted from, with where it came from.
Once a month, it checks the last 30 days. If conditions look healthy (two “warning lights” based on emerging‑market stocks and the broad US bond market are both green), it holds the five strongest areas among stocks (US/Europe/Japan/EM), real estate, Treasuries, commodities, and gold—split evenly. If warnings flash, it shifts part or all into Treasuries or short‑term T‑bills.
Rules-based, monthly rotation. Ranks major asset classes by recent performance and holds the top five. Uses two simple “warning lights” to cut risk, moving into Treasuries or T‑bills when conditions weaken. Aims to participate in uptrends and defend in downturns.
Out-of-sample Sharpe 1.60 vs SPY 1.37; max drawdown 7.1% vs 13.7%; Calmar ~2.46. A global, rules-based momentum strategy with built-in risk brakes offers cleaner risk-adjusted upside and better capital protection than the S&P 500.
https://portfoliodb.co/portfolios/kipnis-defensive-adaptive-asset-allocation-kda/
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | defensive, global multi-asset, momentum, rules-based, tactical asset allocation | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 17.44% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 29.07% | ||
| Return, trailing 1 month (out-of-sample) | -0.77% | ||
| Return, trailing 1 year (out-of-sample) | 12.96% | ||
| Return, trailing 3 months (out-of-sample) | -0.01% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.46 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -7.10% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.60 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 10.43% |
Composer Technologies · Composer
Composer Technologies · Composer
