Composer · investment strategy
by Composer Technologies · via Composer
Each month, it checks which S&P 500 version is stronger over the last 14 days (SPY vs RSP). If mega‑caps lead, it holds SPHQ (quality/growth tilt). If not, it holds PWV (value tilt). Aims to follow the style that’s currently in charge.
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 Momentum 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.
6 missing
The text the rules are quoted from, with where it came from.
Once a month, compare a 14‑day “strength score” (RSI: a 2‑week gauge of whether prices have lately risen more than fallen) for two S&P 500 versions: SPY (mega‑cap‑tilted) and RSP (equal‑weighted). If SPY’s score is higher, hold SPHQ (quality‑tilted large U.S. stocks). Otherwise hold PWV (large U.S. value). Recheck next month.
Each month, it checks which S&P 500 version is stronger over the last 14 days (SPY vs RSP). If mega‑caps lead, it holds SPHQ (quality/growth tilt). If not, it holds PWV (value tilt). Aims to follow the style that’s currently in charge.
Out-of-sample edge: 43.35% annual return, 4.05% max drawdown, Sharpe 2.82 vs SPY 1.51, Calmar 10.69. Monthly rotation between SPHQ (quality/growth) and PWV (value) stays fully invested in US large caps with superior risk-adjusted returns.
Once a month the SPY 14 day RSI is checked against RSP in an attempt to see if the market is currently favoring Large Cap Growth or Large Cap Value. Has performed well in the long run and the very near term with lower standard deviations and drawdowns.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | factor rotation, growth vs value, momentum signal, monthly rebalance, us equities | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 43.35% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 27.50% | ||
| Return, trailing 1 month (out-of-sample) | 1.85% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 7.27% |
| Calmar ratio, out-of-sample period (out-of-sample) | 10.69 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -4.05% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 2.82 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 13.16% |
Composer Technologies · Composer
Composer Technologies · Composer
