Allweather momentum
My main strategy combines the Allweather strategy of Ray Dalio and Momentum strategy of Mebane Faber and includes a proprietary Financial Stress Indicator inspired by the St. Louis Fed. Below I share the main details of these three strategies.
The strategy is live since 2018 and is open for copying since begining of 2020.
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You can see and copy my strategy on eToro
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Monthly reports including performance figures are available on reports page
All Weather Strategy
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Developped by Ray Dalio - the founder of Bridgewarer, the goal of this strategy is to have a stable diversified portfolio allocation. Originally it was created to store wealth of Ray Dalio and his family. This portfolio is supposed to withstand any economic environment between rising or falling growth and rising or falling inflation. It invests into asset clases that perform well in every economic environment. More about the All Weather strategy you can find on Bridgewater website.
Momentum strategy
Mebane Faber has systemized the momentum strategy among 10 uncorrelated asset classes in 2006. It is an investment strategy that allocates weights based on the strength of momentum (measured as return). More about the strategy you can find out in the website of Mebane Faber.
Financial Stress Indicator
The St.Louis Fed has first published it's Financial Stress Indicator in 2010 with the goal to track the health of the economy through readily available financial indicators. They have chosen 18 indicators from interest rates, to LIBOR spreads, High Yield spreads and others. They standardized them across the business cycle and combined through the principal component analysis to come up with one number, which will show if the combination of these indicators is above or below it's seven year average, and by how many standard deviations. A more detailed description of the methodology can be found here on the St.Louis Fed website. Since then it has updated the model to allow for the negative interest rates, the updated model you can find here.