Allweather Momentum FSI

Allweather Momentum targets a diversified portfolio of ETFs which are weighted by their momentum factors. It combines the All Weather approach of Ray Dalio with the Momentum approach of Mebane Faber in order to achieve the best risk adjusted returns and reduce drawdowns. As an additional risk management tool the strategy uses a proprietary Financial Stress Indicator (FSI) inspired by the St. Louis Fed which estimates how difficult it is for small and mid sized business to borrow money and obtain liquidity in the markets. With the idea that SME segment is the driving force of innovation and GDP, hence difficulties in liquidity might lead to economic problems. A high reading of FSI puts the strategy in "risk off" mode by reducing equity exposure. The FSI and the momentum indicators are calculated on a weekly basis and the portfolio is rebalanced if changes in weights exceed 3% in order to minimize trading costs.