Composer · investment strategy
by Composer Technologies · via Composer
A three-ETF portfolio in energy, oil refiners, and gold miners. It gives more weight to the calmest fund over the last 30 days and less to the jumpiest. Two funds use 2x daily leverage. No fixed rebalance—only when ~10% off target. Concentrated and high risk.
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 Aggressive risk 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.
It holds three ETFs: ERX (2x U.S. energy stocks), CRAK (global oil refiners), and NUGT (2x gold miners). It reviews the past 30 trading days: the calmer an ETF has been, the bigger its weight; the jumpier, the smaller. There’s no set schedule— it trades only if positions drift ~10% from targets. (“2x” = about double the market’s daily move.)
A three-ETF portfolio in energy, oil refiners, and gold miners. It gives more weight to the calmest fund over the last 30 days and less to the jumpiest. Two funds use 2x daily leverage. No fixed rebalance—only when ~10% off target. Concentrated and high risk.
Out-of-sample, this 3-ETF inverse-vol strategy outperforms the S&P on risk-adjusted returns: Sharpe 4.29 vs 2.86; annualized return ~139% vs ~24%; beta ~0.54; Calmar ~52—delivering strong upside with lower market risk.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced | ||
| Asset classes / instruments | equities |
| Rebalance corridor width | 10.00% | ||
| Rebalance frequency | none |
| Return, out-of-sample period (annualized) (out-of-sample) | 138.64% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 3.87% | ||
| Return, trailing 1 month (out-of-sample) | 8.12% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 0.00% |
| Calmar ratio, out-of-sample period (out-of-sample) | 51.98 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -2.67% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 4.29 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 22.88% |
Composer Technologies · Composer
Composer Technologies · Composer
