Risk Parity Momentum (Schwoerer)
For each asset (QQQ, GLD, TLT), check if current price > 200-day SMA. Remove any asset trading below its 200-day SMA. Backtest max drawdown: -20.1%.
Strategy & methodology
For each asset (QQQ, GLD, TLT), check if current price > 200-day SMA; Remove any asset trading below its 200-day SMA; Compute 60-day rolling volatility for qualifying assets; Allocate using inverse-volatility weighting: Weight_i =…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2023-04-21; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (1)
- TLT: VUSTX before Jul 26, 2002
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
For each asset (QQQ, GLD, TLT), check if current price > 200-day SMA. Remove any asset trading below its 200-day SMA. Backtest max drawdown: -20.1%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. 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 facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. 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
Published result: Engine drift-until-flip-v1, data version 7fafcfd8, published 2026-10-01
Is Risk Parity Momentum (Schwoerer) still working in 2026?
Risk Parity Momentum (Schwoerer) returned 2.36% over the trailing 12 months and 59.78% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 10.88%. Its full-backtest maximum drawdown was -20.14%. The full sample contains 10359 daily NAV observations from 1986-01-31. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -5.64% below its high-water mark of 2026-02-27, 7 months ago, and its longest run below a previous high was 3.3 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 2.36% | Not annualized | -15.85% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 59.78% | Not annualized | -15.85% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 6576.58% | 10.88% | -20.14% | 10359 | 1986-01-31 to 2026-10-01 |
Last verified
Common questions about these results
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.
How long has it spent below a previous high?
Its last high-water mark was 2026-02-27, 7 months before 2026-10-01, and it is -5.64% below that level now. The longest run below a previous high in the full backtest was 3.3 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-01 (40.7 years): 10.9% CAGR, 1.02 Sharpe, -20.1% max drawdown, 11.3% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-01-31 to 2026-10-01
- CAGR
- 10.9%
- Sharpe
- 1.02
- 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.
Risk Parity Momentum (Schwoerer): frequently asked questions
- What is Risk Parity Momentum (Schwoerer)?
- 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.
- Who created the Risk Parity Momentum (Schwoerer) strategy?
- Risk Parity Momentum (Schwoerer) was developed by Martin Schwoerer.
- What is the historical return and maximum drawdown of Risk Parity Momentum (Schwoerer)?
- Backtested from 1986-01-31 to 2026-10-01, Risk Parity Momentum (Schwoerer) returned 10.9% CAGR with a -20.1% maximum drawdown and a Sharpe ratio of 1.02. Past performance does not guarantee future results.
- How often is Risk Parity Momentum (Schwoerer) rebalanced?
- Risk Parity Momentum (Schwoerer) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Risk Parity Momentum (Schwoerer) a tactical asset allocation strategy?
- Yes. Risk Parity Momentum (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 (1986-01-31 to 2026-10-01)
| Metric | Risk Parity Momentum (Schwoerer) |
|---|---|
| CAGR | 10.9% |
| Max Drawdown | -20.1% |
| Sharpe | 1.02 |
| Sortino | 1.96 |
| Volatility | 11.3% |
| Calmar | 0.54 |
| Total Return | 6576.6% |
| Backtest Period | 40.7 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Risk Parity Momentum (Schwoerer) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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