Composer · investment strategy
by Composer Technologies · via Composer
Monthly, rules‑based mix of stocks, real estate, commodities, and Treasuries. Each sleeve is 100%, 50%, or 0% invested based on a 12‑month trend and whether it beat cash, shifting to T‑bills when conditions are weak.
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.
8 positions as of 2026-10-19
: 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.
3.6% of weight in (IVV: 3.0%)
6 funds (SEC N-PORT, as of 2026-06-30)
: 5.4% (DBC 15% × 0.37), shown separately from fossil-fuel companies.
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 78% · 2026-10-19 ()
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% · 2026-10-19 ()
0 of 8 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 Multi-asset 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.
4 missing
The text the rules are quoted from, with where it came from.
Each month it splits money equally across 7 sleeves: MTUM (US momentum stocks), IWD (US value stocks), EFA (intl. developed stocks), EFV (intl. value), VNQ (US real estate), DBC (commodities), IEF (US Treasuries). For each sleeve: if today’s price is above its 1‑yr average, hold it; if not but it beat T‑bills (BIL) over 1 yr, hold half; otherwise use T‑bills. Then rebalance.
Monthly, rules‑based mix of stocks, real estate, commodities, and Treasuries. Each sleeve is 100%, 50%, or 0% invested based on a 12‑month trend and whether it beat cash, shifting to T‑bills when conditions are weak.
Diversified, rules-based multi-asset strategy with trend rules and cash defense across 7 sleeves. OOS: Sharpe 1.72 vs 1.37, drawdown 9.7% vs 13.7%, beta 0.54, Calmar 2.00, ~580 days.
https://portfoliodb.co/portfolios/robust-asset-allocation-balanced/
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $20k | 2026-10-19 | |
| Backtest regulatory fees | $7 | 2026-10-19 | |
| Backtest slippage cost | $35 | 2026-10-19 |
| AI categories (Composer) | commodities, defensive, global equities, real estate, tactical asset allocation, treasuries, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 191 | 2026-10-19 | |
| Rebalance frequency | monthly |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.14 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "BIL", "DBC", "EFA", "EFV", "IEF", "IWD", "MTUM", "VNQ" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.06 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.54 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.87 | 2026-10-19 |
| Remixes (copies) | 0 | 2026-10-19 | |
| Watchers | 2 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 3,031 | 2026-10-19 | |
| Out-of-sample length | 405 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 6.06% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 103.03% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 19.46% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 32.62% | ||
| Return, trailing 1 day (out-of-sample) | -0.15% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | -0.96% | ||
| Return, trailing 1 week (out-of-sample) | -0.63% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 17.80% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 19.63% | ||
| Return, trailing 2 weeks (out-of-sample) | -0.36% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 2.25% | ||
| SPY annualized return over the backtest window (backtest) | 13.80% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.39 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.00 | ||
| Maximum drawdown, backtest period (backtest) | -15.73% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -9.73% | ||
| Sharpe ratio, backtest period (backtest) | 0.76 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.72 | ||
| Sortino ratio, backtest period (backtest) | 1.05 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.50 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 8.19% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 10.69% |
| Annualized turnover, backtest period (backtest) | 1.63 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 1.33 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.73% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 58.52% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
