Risk Parity Momentum (Schwoerer)
TacticalPromoderateBased on research by Martin Schwoerer
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Apr 21, 2023About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1For each asset (QQQ, GLD, TLT), check if current price > 200-day SMA
- 2Remove any asset trading below its 200-day SMA
- 3Compute 60-day rolling volatility for qualifying assets
- 4Allocate using inverse-volatility weighting: Weight_i = (1/vol_i) / sum(1/vol_j)
- 5If no asset qualifies → 100% BIL (cash proxy)
Asset Universe
Pro subscribers only
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 (10d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- momentum, economic
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Trend Filter
- 200-day SMA per asset (must be above to qualify)
- 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
- Cash Trigger
- All assets below 200-day SMA → 100% BIL
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Risk Parity Momentum (Schwoerer) at a glance
Risk Parity Momentum (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer across US Equity (Nasdaq 100), Gold, Long-Term Treasuries, rebalanced monthly. Backtested 1986-01-31 to 2026-05-20 (40.3 years): 11.0% CAGR, 0.97 Sharpe, -20.1% max drawdown, 11.3% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-01-31 to 2026-05-20
- CAGR
- 11.0%
- Sharpe
- 0.97
- Max Drawdown
- -20.1%
- Volatility
- 11.3%
Risk Parity Momentum (Schwoerer) — Tactical Asset Allocation Strategy
Martin Schwoerer's Risk Parity Momentum strategy combines a 200-day SMA trend filter with inverse-volatility (risk parity) position sizing across a concentrated three-asset universe of QQQ, GLD, and TLT.
Each month, assets below their 200-day SMA are excluded. The remaining qualifying assets are weighted using inverse-volatility: each receives a weight proportional to 1/volatility (60-day rolling std dev). If no asset qualifies, the portfolio moves entirely to BIL.
Backtest Performance (1986-01-31 to 2026-05-20)
| Metric | Risk Parity Momentum (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.0% |
| Maximum Drawdown | -20.1% |
| Sharpe Ratio | 0.97 |
| Sortino Ratio | 1.23 |
| Annualized Volatility | 11.3% |
| Calmar Ratio | 0.55 |
| Total Return | 6533.5% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer
Asset Classes
- US Equity (Nasdaq 100)
- Gold
- Long-Term Treasuries
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