RP Gold+SCV (Schwoerer)

Name: RP Gold+SCV (Schwoerer), Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries). Current signal: Mixed. Backtest max drawdown: -30.8%.

Current allocation

RP Gold+SCV (GLD/VIOV/IEF)

Holding period
Data cutoff
Next review

TacticalFreemoderateRobustness 0.45FragileStability 0.22

Based on research by Martin Schwoerer · Original sourcePublished May 4, 2025momentumBestFolio's independent implementation, not affiliated with or endorsed by the original author.

About this Strategy

Martin Schwoerer's Risk Parity Gold + Small Cap Value strategy applies inverse-volatility weighting across GLD (Gold), VIOV (Vanguard S&P Small-Cap 600 Value), and IEF (Intermediate Treasuries). An optional 200-day SMA trend filter excludes assets in a downtrend before applying inverse-volatility weighting. The three sleeves provide different economic exposures, but diversification does not guarantee that one rises when another falls. Weights use 60 trading sessions of daily return volatility; this is an approximation to risk balancing, not a full covariance-based equal-risk-contribution optimizer. The filtered variant goes to BIL when no asset qualifies; the No Filter variant keeps its asset sleeves invested. Trend filters may miss a rebound and monthly reweighting can create turnover, so check costs and the precise variant before implementation.

Strategy Rules

Selected flavour

RP Gold+SCV (GLD/VIOV/IEF): Schwoerer: Risk Parity with Gold (GLD), Small Cap Value (VIOV), and Intermediate Treasuries (IEF). 200d SMA trend filter.

1Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries)
2If SMA filter enabled: exclude any asset trading below its 200-day SMA
3Compute 60-day rolling volatility for qualifying assets
4Allocate using inverse-volatility weighting
5If no asset qualifies → 100% BIL (cash proxy)

Asset Universe

4 instruments this strategy can hold

BIL

T-Bills (1-3 Month)

GLDM

Gold MiniShares

IEF

7-10Y Treasuries

VIOV

Vanguard S&P 600 Value

Key Differentiators

Monthly rebalancingTactical rotationModerate riskMomentum-based3 variants

Type: Tactical (TAA)
Frequency: monthly
Next Rebalance: Nov 209:30 New York (US open) (today)
Variants: 3
Risk Category: moderate
Regime: Mixed
Signal Date: 2026-10-30
Tags: momentum
Type: Tactical Asset Allocation (TAA)
Trading Frequency: Monthly (last trading day)
Trend Filter: 200-day SMA per asset (optional, enabled by default)
Weighting: Inverse-volatility (risk parity) among qualifying assets
Volatility Measure: 60-day rolling standard deviation of daily returns
Universe Size: 3 risky assets + 1 cash proxy
Data Source: Institutional-grade market data (13 months minimum history)

Asset Classes

GoldSmall Cap Value EquityIntermediate-Term Treasuries

Strategy & methodology

Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries); If SMA filter enabled: exclude any asset trading below its 200-day SMA; Compute 60-day rolling volatility for qualifying assets; Allocate using…

Strategy type:: Tactical asset allocation
Rebalance frequency:: Monthly
Original publication:: 2025-05-04; results after that are out-of-sample for the original research. All results are backtest simulations.
Data through:: Backtest data through 2026-10-30. Latest signal 2026-10-30.

Simulated history

Stand-in funds and until when (2)

VIOV: IJR x0.95 before Sep 9, 2010
IEF: VFITX before Jul 26, 2002

Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.

Research data and disclosures

Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries). Current signal: Mixed. Backtest max drawdown: -30.8%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach, current signal and allocation, and interactive backtest views on this page. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.

BestFolio supplies: The monthly signal email and this strategy page.
Customer action: Place any required trades in your own brokerage at the next open on Nov 2, 2026. BestFolio does not execute orders.
Costs and exclusions: Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Freshness: Signal data cutoff Oct 30, 2026 close.
Next expected action: Next review Dec 1, 2026 at the open (09:30 New York). Review the published signal before placing any trade.

Published result: Engine drift-until-flip-v1, data version 34804fd5, published 2026-11-02

Is RP Gold+SCV (Schwoerer) still working in 2026?

RP Gold+SCV (Schwoerer) returned 1.26% over the trailing 12 months and 33.74% over 36 months through 2026-10-30, compared with a full-backtest annualized return of 7.66%. Its full-backtest maximum drawdown was -30.80%. The full sample contains 10612 daily NAV observations from 1985-01-02. These are model results, not investor account returns or a promise. As of 2026-10-30 it is -5.16% below its high-water mark of 2026-02-27, 8 months ago, and its longest run below a previous high was 5.0 years. Recent returns do not establish that the strategy will keep working.

RP Gold+SCV (GLD/VIOV/IEF), USD model NAV. Trailing returns are cumulative; CAGR is annualized. All drawdowns use daily closes.
Period	Return	CAGR	Max drawdown	Observations	Dates
Trailing 12 months	1.26%	Not annualized	-8.74%	252	2025-10-30 to 2026-10-30
Trailing 36 months	33.74%	Not annualized	-8.74%	754	2023-10-30 to 2026-10-30
Full backtest	2086.98%	7.66%	-30.80%	10612	1985-01-02 to 2026-10-30

Last verified Oct 30, 2026

Common questions about these results

Are these live investor returns?

No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.

Why can a strategy lag for a year?

A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.

How long has it spent below a previous high?

Its last high-water mark was 2026-02-27, 8 months before 2026-10-30, and it is -5.16% below that level now. The longest run below a previous high in the full backtest was 5.0 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.

Where can I check the signals behind these results?

The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.