Composer · investment strategy
by Composer Technologies · via Composer
Monthly “double momentum” that owns the stronger stock market (US or ex‑US) over the past year—only if it’s also beating cash‑like T‑bills. Otherwise it moves to broad U.S. bonds. Seeks to join uptrends and cut drawdowns.
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.
2.9% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-07-31)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 35% · 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 4 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 International equities label, from other sources first, strongest risk-adjusted return first.
Collective2
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.
4 missing
The text the rules are quoted from, with where it came from.
Every month, look back 12 months. 1) Compare US stocks (SPY, S&P 500) vs non‑US stocks (VEU, all‑world ex‑US). Pick the one that rose more. 2) Safety check: did that winner beat cash‑like T‑bills (BIL)? If yes, hold it; if not, hold broad U.S. bonds (AGG). SPY/VEU span many sectors; AGG holds Treasuries, mortgages, and corporate bonds. Recheck monthly.
Monthly “double momentum” that owns the stronger stock market (US or ex‑US) over the past year—only if it’s also beating cash‑like T‑bills. Otherwise it moves to broad U.S. bonds. Seeks to join uptrends and cut drawdowns.
Dual-momentum strategy: ride the stronger market (US or ex-US) with a cash hurdle to limit losses, delivering better risk-adjusted protection. Out-of-sample: ~12.0% annualized vs S&P 14.7%; drawdown ~18.8% vs 22.1%; Calmar ~0.64.
Known as GEM to its friends, this double momentum strategy is popular with systematic investors. The strategy holds the better performing of two equity funds -- US or global. But it only does so if the fund is doing better than short-term US government bonds, a proxy for whether the additional risk of holding equities is worth the reward. If not, it invests in good old bonds. This strategy was developed by Gary Antonacci and adapted into a symphony by Composer. By choosing to trade this strategy, you understand that the strategy employs ETFs, and that you understand the associated risks of trading, holding, and costs associated with ETFs, and also leveraged ETFs. Before investing in ANY strategy containing an ETF, please review the relevant ETF prospectus.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $50k | 2026-10-11 | |
| Backtest regulatory fees | $16 | 2026-10-11 | |
| Backtest slippage cost | $140 | 2026-10-11 |
| AI categories (Composer) | etfs, global momentum, risk-managed, tactical asset allocation, trend following | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 14 | 2026-10-11 | |
| Rebalance frequency | monthly | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 1 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "AGG", "BIL", "SPY", "VEU" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.01 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.75 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.81 | 2026-10-11 |
| Remixes (copies) | 87 | 2026-10-11 | |
| Watchers | 149 | 2026-10-11 |
| Backtest length | 4,620 | 2026-10-11 | |
| Out-of-sample length | 1,167 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 9.19% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 401.33% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 12.01% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 69.15% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.78% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | -2.78% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | -0.75% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 18.66% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 18.66% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | -1.85% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | -0.19% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 11.84% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 0.27 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.64 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -33.72% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -18.76% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 0.63 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.80 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 0.88 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.16 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 15.92% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 15.84% | 2026-10-11 |
| Risk rating (Composer data field) | Aggressive | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 1.80 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 1.73 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 54.29% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 53.73% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
