EM Mean Reversion (Schwoerer) at a glance
EM Mean Reversion (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer (based on Meb Faber) across Emerging Markets, T-Bills, rebalanced monthly. Backtested 2012-10-31 to 2026-04-24 (13.4 years): 4.2% CAGR, 0.32 Sharpe, -45.0% max drawdown, 18.2% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer (based on Meb Faber)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 2012-10-31 to 2026-04-24
- CAGR
- 4.2%
- Sharpe
- 0.32
- Max Drawdown
- -45.0%
- Volatility
- 18.2%
EM Mean Reversion (Schwoerer) — Tactical Asset Allocation Strategy
EM Mean Reversion is an annual contrarian approach that buys beaten-down emerging market country ETFs. Countries with 3+ consecutive negative annual returns get a full position; those with exactly 2 get a half position. Positions are held for one year.
Backtest Performance (2012-10-31 to 2026-04-24)
| Metric | EM Mean Reversion (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 4.2% |
| Maximum Drawdown | -45.0% |
| Sharpe Ratio | 0.32 |
| Sortino Ratio | 0.38 |
| Annualized Volatility | 18.2% |
| Calmar Ratio | 0.09 |
| Total Return | 73.8% |
| Backtest Period | 13.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer (based on Meb Faber)
- Source
- Faber, M. (concept). Emerging Markets Mean Reversion
Asset Classes
- Emerging Markets
- T-Bills
Categories
Track EM Mean Reversion (Schwoerer) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.