RP Gold+SCV (Schwoerer)
Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries). Current signal: Mixed. Backtest max drawdown: -30.7%.
Current allocation
RP Gold+SCV (GLD/VIOV/IEF)
Current allocation is not available yet for this variant. Preview signals are shown separately in Signals.
Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries). Current signal: Mixed. Backtest max drawdown: -30.7%.
Based 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 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
- 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
Key Differentiators
Research Source
Based on research by Martin Schwoerer
Read original paper →Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Oct 109:30 ET (13d)
- Variants
- 3
- Risk Category
- moderate
- Regime
- Mixed
- Signal Date
- 2026-09-17
- 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
Research and methodology
Universe: GLD (Gold), VIOV (Small Cap Value), IEF (Intermediate Treasuries). Current signal: Mixed. Backtest max drawdown: -30.7%. 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 dates below identify the available data and the next scheduled review.
- Cadence:
- Monthly
- Data through:
- Backtest data through 2026-09-17; latest signal date 2026-09-17.
- History boundary:
- Live signals published since 2025-05-04; results before that date are a backtest simulation
- Published result:
- Engine daily-reset-v1, data version f433ffe3, published 2026-09-10
- Rule / approach
- 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…
- 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 Oct 1, 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 Sep 17, 2026 close. Backtest data through 2026-09-17; latest signal date 2026-09-17.
- Next expected action
- Next review Nov 2, 2026 at the open (09:30 ET). Review the published signal before placing any trade.
Is RP Gold+SCV (Schwoerer) still working in 2026?
RP Gold+SCV (Schwoerer) returned 3.82% over the trailing 12 months and 29.67% over 36 months through 2026-09-17, compared with a full-backtest annualized return of 6.48%. Its full-backtest maximum drawdown was -30.70%. The full sample contains 10329 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 3.82% | Not annualized | -6.12% | 252 | 2025-09-17 to 2026-09-17 |
| Trailing 36 months | 29.67% | Not annualized | -6.12% | 754 | 2023-09-15 to 2026-09-17 |
| Full backtest | 1173.71% | 6.48% | -30.70% | 10329 | 1986-02-28 to 2026-09-17 |
Last verified
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.
Where can I check the signals behind these results?
The Signal History card on this strategy page shows dated model decisions for the selected variant, subject to its access tier. The methodology page explains the backtest assumptions.
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 2026-09-17 (40.5 years): 6.5% CAGR, 0.79 Sharpe, -30.7% max drawdown, 8.1% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-09-17
- CAGR
- 6.5%
- Sharpe
- 0.79
- 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 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.
RP Gold+SCV (Schwoerer): frequently asked questions
- What is RP Gold+SCV (Schwoerer)?
- Risk parity allocation across gold, small cap value, and intermediate Treasuries using inverse-volatility weighting. Optional 200-day SMA trend filter excludes below-trend assets. Cash when nothing qualifies. Monthly rebalancing.
- Who created the RP Gold+SCV (Schwoerer) strategy?
- RP Gold+SCV (Schwoerer) was developed by Martin Schwoerer.
- What is the historical return and maximum drawdown of RP Gold+SCV (Schwoerer)?
- Backtested from 1986-02-28 to 2026-09-17, RP Gold+SCV (Schwoerer) returned 6.5% CAGR with a -30.7% maximum drawdown and a Sharpe ratio of 0.79. Past performance does not guarantee future results.
- How often is RP Gold+SCV (Schwoerer) rebalanced?
- RP Gold+SCV (Schwoerer) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is RP Gold+SCV (Schwoerer) a tactical asset allocation strategy?
- Yes. RP Gold+SCV (Schwoerer) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-09-17)
| Metric | RP Gold+SCV (Schwoerer) |
|---|---|
| CAGR | 6.5% |
| Max Drawdown | -30.7% |
| Sharpe | 0.79 |
| Sortino | 1.37 |
| Volatility | 8.1% |
| Calmar | 0.21 |
| Total Return | 1185.3% |
| Backtest Period | 40.5 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding RP Gold+SCV (Schwoerer) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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