Composer · investment strategy
by Composer Technologies · via Composer
Monthly trend + factor rotation: All‑in IVW (S&P 500 Growth) when SPY is above its 120‑day average; otherwise hold the 3 factor ETFs with the best 1‑month returns from Momentum, Quality, Pure Value, Small‑Cap Value, and Low Volatility.
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.
1 positions as of 2026-10-11
: the platform's backtest holdings, not a client account.
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.
0.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30)
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100% · 2026-10-11 ()
0.0% of weight in (SPY: 0%)
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100% · 2026-10-11 ()
0 of 7 funds in its are
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100%
Strategies that share its Small cap label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
Collective2
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.
4 missing
The text the rules are quoted from, with where it came from.
Monthly, check SPY (broad US market ETF). If SPY is above its 120‑day average (~6 months), buy IVW (S&P 500 Growth) 100%—heavy in tech/consumer/communications.<br>Else, split equally across the 3 best 1‑month performers from MTUM (Momentum), QUAL (Quality), RPV (Pure Value), VBR (Small‑Cap Value), USMV (Low Volatility)—more tilt to financials/energy/staples/healthcare.
Monthly trend + factor rotation: All‑in IVW (S&P 500 Growth) when SPY is above its 120‑day average; otherwise hold the 3 factor ETFs with the best 1‑month returns from Momentum, Quality, Pure Value, Small‑Cap Value, and Low Volatility.
Out-of-sample, this strategy posts higher annualized return (22.53% vs 22.12% SPY) with competitive risk (Calmar ~1.20) and drawdowns in line with the market. It rides uptrends via IVW and rotates to diversified factors in weaker markets.
Selects the top factor ETFs for returns every month and invests in them.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $71k | 2026-10-11 | |
| Backtest regulatory fees | $23 | 2026-10-11 | |
| Backtest slippage cost | $187 | 2026-10-11 |
| AI categories (Composer) | factor rotation, growth tilt, low volatility, momentum, monthly rebalance, quality, small-cap, trend-following, us equities, value | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 16 | 2026-10-11 | |
| Rebalance frequency | monthly | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.89 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "IVW", "MTUM", "QUAL", "RPV", "SPY", "USMV", "VBR" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | -0.00 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.03 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.92 | 2026-10-11 |
| Remixes (copies) | 18 | 2026-10-11 | |
| Watchers | 17 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 3,306 | 2026-10-11 | |
| Out-of-sample length | 986 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 16.13% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 611.46% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 22.53% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 121.62% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.80% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | 4.34% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 0.92% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 13.85% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 13.85% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 1.37% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 5.52% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 14.44% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 0.47 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.20 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -34.32% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -18.84% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 0.92 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.28 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 1.30 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.87 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 18.00% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 17.06% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 2.57 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 2.63 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 55.38% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.27% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
