HYG Signal (Schwoerer) at a glance
HYG Signal (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer across US Equity, Short-Term Treasuries, rebalanced monthly. Backtested 1980-07-31 to 2026-04-24 (45.7 years): 10.8% CAGR, 0.83 Sharpe, -43.8% max drawdown, 13.6% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1980-07-31 to 2026-04-24
- CAGR
- 10.8%
- Sharpe
- 0.83
- Max Drawdown
- -43.8%
- Volatility
- 13.6%
HYG Signal (Schwoerer) — Tactical Asset Allocation Strategy
The HYG Signal uses the high-yield bond ETF (HYG) as a credit-spread risk indicator. When HYG is above its 100-day EMA, credit conditions are healthy → 100% SPY. Below → 100% SHV.
Backtest Performance (1980-07-31 to 2026-04-24)
| Metric | HYG Signal (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.8% |
| Maximum Drawdown | -43.8% |
| Sharpe Ratio | 0.83 |
| Sortino Ratio | 0.98 |
| Annualized Volatility | 13.6% |
| Calmar Ratio | 0.25 |
| Total Return | 10867.3% |
| Backtest Period | 45.7 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer
Asset Classes
- US Equity
- Short-Term Treasuries
Categories
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