RP Gold+SCV (Schwoerer)
TacticalFreemoderateBased on research by Martin Schwoerer
This is BestFolio'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 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
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (28d)
- Variants
- 3
- Risk Category
- moderate
- Regime
- Aggressive
- Signal Date
- 2026-05-01
- 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 1981-02-27 to 2026-05-04 (45.5 years): 8.3% CAGR, 0.83 Sharpe, -40.4% max drawdown, 10.2% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1981-02-27 to 2026-05-04
- CAGR
- 8.3%
- Sharpe
- 0.83
- Max Drawdown
- -40.4%
- Volatility
- 10.2%
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 (1981-02-27 to 2026-05-04)
| Metric | RP Gold+SCV (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.3% |
| Maximum Drawdown | -40.4% |
| Sharpe Ratio | 0.83 |
| Sortino Ratio | 0.90 |
| Annualized Volatility | 10.2% |
| Calmar Ratio | 0.20 |
| Total Return | 3625.5% |
| Backtest Period | 45.5 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
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