Risk Parity Momentum (Schwoerer) — Tactical Asset Allocation Strategy
Risk parity meets trend-following. Three assets (QQQ, GLD, TLT) filtered by 200-day SMA; qualifying assets are allocated by inverse 60-day volatility. No qualifiers triggers 100% cash. Concentrated but adaptive. Monthly rebalancing.
Backtest Performance (1987-05-29 to 2026-04-07)
| Metric | Risk Parity Momentum (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.4% |
| Maximum Drawdown | -39.9% |
| Sharpe Ratio | 1.00 |
| Sortino Ratio | 1.22 |
| Annualized Volatility | 13.5% |
| Calmar Ratio | 0.33 |
| Total Return | 13288.2% |
| Backtest Period | 39.1 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer
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