Composer · investment strategy
by Composer Technologies · via Composer
A simple monthly switch: hold U.S. stocks (SPY) when they’ve beaten long‑term Treasuries (TLT) over ~3 months; otherwise hold Treasuries. Seeks to follow trends and sidestep major stock slumps, but can whipsaw or lose when both assets fall.
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 Fixed income 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.
Each month, compare about 3 months of recent performance for two funds:<br>- SPY: tracks large U.S. stocks (the S&P 500).<br>- TLT: holds 20+ year U.S. Treasury bonds.<br>If SPY did better, own SPY 100%. Otherwise, own TLT 100%. No mixing or cash. Recheck monthly.
A simple monthly switch: hold U.S. stocks (SPY) when they’ve beaten long‑term Treasuries (TLT) over ~3 months; otherwise hold Treasuries. Seeks to follow trends and sidestep major stock slumps, but can whipsaw or lose when both assets fall.
Out-of-sample, this strategy underperforms SPY: 3.2% annualized return vs 14.7%, and 27.4% max drawdown vs 22.1%. It's a diversification sleeve for regime shifts, not a replacement for stocks.
Stocks and bonds. But not at the same time. Each month, stocks and bonds go head-to-head. The decision factor? Three month performance. This symphony holds stocks if stocks are doing better. And bonds if bonds are doing better. This simple and elegant strategy was developed by Lewis Glenn 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.
| AI categories (Composer) | momentum, monthly rotation, risk-on/risk-off, stocks vs bonds, tactical asset allocation, trend-following | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 3.20% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 15.74% | ||
| Return, trailing 1 month (out-of-sample) | 2.37% | ||
| Return, trailing 1 year (out-of-sample) | 7.18% | ||
| Return, trailing 3 months (out-of-sample) | 3.83% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.12 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -27.43% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.28 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 15.61% |
Composer Technologies · Composer
Composer Technologies · Composer
