Composer · investment strategy
by Composer Technologies · via Composer
Buys recent laggards among a handful of very old, blue‑chip U.S. companies. Each month it picks the two worst 28‑day performers, splits funds equally, and holds for one month to bet on a rebound.
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 Fundamental research label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
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, the strategy looks only at a small club of very old, durable U.S. companies: BNY, Consolidated Edison (ED), Procter & Gamble (PG), Coca‑Cola (KO), Pfizer (PFE), IBM, and Johnson & Johnson (JNJ). It ranks their last‑28‑day performance and buys the two that did the worst. Money is split 50/50. Hold for one month, then repeat.
Buys recent laggards among a handful of very old, blue‑chip U.S. companies. Each month it picks the two worst 28‑day performers, splits funds equally, and holds for one month to bet on a rebound.
Defensive blue-chip mean-reversion: monthly rebalance of two laggards, equal-weighted. OOS: ~10.9% annualized return, Calmar 2.44, max drawdown ~4.46%, beta ~0 to -0.03. Lower risk, steady risk-adjusted gains versus the S&P’s ~14.4%.
This strategy backs companies who have existed for the longest and mean reversion.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | blue chips, concentrated, defensive, equal-weight, large-cap us stocks, mean reversion, monthly rebalance | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 10.90% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 4.11% | ||
| Return, trailing 1 month (out-of-sample) | -0.74% | ||
| Return, trailing 1 year (out-of-sample) | 3.14% | ||
| Return, trailing 3 months (out-of-sample) | 4.85% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.44 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -4.46% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.72 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 16.49% |
Collective2
Quantbase · Surmount
