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 2026-07-03 (40.4 years): 10.8% CAGR, 1.00 Sharpe, -20.1% max drawdown, 11.3% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-01-31 to 2026-07-03
- CAGR
- 10.8%
- Sharpe
- 1.00
- 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 2026-07-03, Risk Parity Momentum (Schwoerer) returned 10.8% CAGR with a -20.1% maximum drawdown and a Sharpe ratio of 1.00. 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 2026-07-03)
| Metric | Risk Parity Momentum (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.8% |
| Maximum Drawdown | -20.1% |
| Sharpe Ratio | 1.00 |
| Sortino Ratio | 1.85 |
| Annualized Volatility | 11.3% |
| Calmar Ratio | 0.54 |
| Total Return | 6228.9% |
| Backtest Period | 40.4 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Track Risk Parity Momentum (Schwoerer) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.