In Part 5 of the Feynman Portfolio Study I describe a method of “ranking” the assets in the Feynman Portfolio Asset List based on “Momentum”. This results in a measure of the “Relative Strength” of each asset. Platinum members and regular readers of this Blog will be familiar with the spreadsheets used in the analysis since Lowell uses them regularly.
Top “ranked” assets are then chosen for inclusion in the Feynman “Momentum” Portfolio and the portfolio is analyzed and re-adjusted quarterly to provide a “Dynamic” portfolio of assets.
This specific study is a total deviation from Strategic and Tactical Asset Allocation Plans described elsewhere on this website and in previous Parts of the Feynman Portfolio Study. This is done deliberately so as to isolate the concepts of “momentum” and “ranking” as considerations in portfolio construction and to try to identify the specific strengths and weaknesses of the concepts.
In later Parts of the Study I plan to look for synergies between the various strategies/tactics/methods used at ITA Wealth Management (including Momentum) that, when combined, might help improve portfolio performance.
It is hoped that the analysis and commentary will also answer at least some of the questions asked recently regarding the ideas behind the Permanent Portfolio theory.
Part 5 of the Feynman Portfolio Study is available as a downloadable Word File here.
Details of the portfolio holdings are available in Appendix 4 downloadable here.
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