Unemployment Signal (Schwoerer) at a glance
Unemployment Signal (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer (based on Philosophical Economics) across US Equity, Cash, rebalanced monthly. Backtested 1981-02-27 to 2026-04-24 (45.1 years): 11.7% CAGR, 0.79 Sharpe, -33.7% max drawdown, 15.4% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer (based on Philosophical Economics)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1981-02-27 to 2026-04-24
- CAGR
- 11.7%
- Sharpe
- 0.79
- Max Drawdown
- -33.7%
- Volatility
- 15.4%
Unemployment Signal (Schwoerer) — Tactical Asset Allocation Strategy
The Unemployment Signal uses FRED UNRATE trend as a macro filter combined with price confirmation. Risk-off only when BOTH unemployment is rising AND SPY is below its 10-month SMA. Either condition alone keeps the portfolio invested.
Backtest Performance (1981-02-27 to 2026-04-24)
| Metric | Unemployment Signal (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.7% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.79 |
| Sortino Ratio | 0.94 |
| Annualized Volatility | 15.4% |
| Calmar Ratio | 0.35 |
| Total Return | 14610.9% |
| Backtest Period | 45.1 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer (based on Philosophical Economics)
- Source
- Philosophical Economics (2016). Growth-Trend Timing
Asset Classes
- US Equity
- Cash
Categories
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