RP Gold+SCV (Schwoerer)
TacticalFreemoderateRobustness 0.95Based on research by Martin Schwoerer
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched May 4, 2025About 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 risk parity weighting.
Strategy Rules
- 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
3 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Martin Schwoerer
Read original paper →Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jul 109:30 ET (13d)
- Variants
- 3
- Risk Category
- moderate
- Regime
- Mixed
- Signal Date
- 2026-06-17
- 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
RP Gold+SCV (Schwoerer) at a glance
RP Gold+SCV (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer across Gold, Small Cap Value Equity, Intermediate-Term Treasuries, rebalanced monthly. Backtested 1986-02-28 to 2026-06-18 (40.3 years): 6.6% CAGR, 0.81 Sharpe, -30.7% max drawdown, 8.1% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-06-18
- CAGR
- 6.6%
- Sharpe
- 0.81
- Max Drawdown
- -30.7%
- Volatility
- 8.1%
RP Gold+SCV (Schwoerer) — Tactical Asset Allocation 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 risk parity weighting.
Backtest Performance (1986-02-28 to 2026-06-18)
| Metric | RP Gold+SCV (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 6.6% |
| Maximum Drawdown | -30.7% |
| Sharpe Ratio | 0.81 |
| Sortino Ratio | 1.27 |
| Annualized Volatility | 8.1% |
| Calmar Ratio | 0.22 |
| Total Return | 1224.7% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- Martin Schwoerer
Asset Classes
- Gold
- Small Cap Value Equity
- Intermediate-Term Treasuries
Categories
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