Composer · investment strategy
by Composer Technologies · via Composer
A very defensive, one-holding-at-a-time strategy. Each month: if US, foreign, emerging stocks and broad bonds have all been rising on average over ~30 trading days, buy the strongest of them; otherwise, buy the strongest of three safer bond funds.
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 Conservative risk label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
Quantbase
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.
Each month it checks four big markets—US stocks (SPY), foreign stocks (EFA), emerging stocks (EEM), and broad US bonds (AGG). If all four have, on average, risen over the last ~30 trading days, it buys the single strongest of those four. If not, it buys the strongest “safer” bond fund among LQD, IEF, and SHY. Hold for a month, then recheck.
A very defensive, one-holding-at-a-time strategy. Each month: if US, foreign, emerging stocks and broad bonds have all been rising on average over ~30 trading days, buy the strongest of them; otherwise, buy the strongest of three safer bond funds.
Defensive, monthly, rule-based strategy delivering stronger downside protection and steady risk-adjusted performance: max drawdown 9.6% vs SPY’s 14.7%, Calmar ~1.62, and more predictable behavior in volatile markets.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3002624
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | bonds, global equities, momentum, monthly rebalance, risk-on/risk-off, tactical allocation, trend-following | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 15.63% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 26.29% | ||
| Return, trailing 1 month (out-of-sample) | -0.22% | ||
| Return, trailing 1 year (out-of-sample) | 13.74% | ||
| Return, trailing 3 months (out-of-sample) | -3.81% |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.62 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -9.62% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.15 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 13.45% |
SoFi Wealth · SoFi
Composer Technologies · Composer
