The Feynman Study: Part 6-3

In this last Section of Part 6 of the Feynman Portfolio Study, covering the use of Moving Average (MA) filters as a tool for Risk Management, I apply the 195-Day EMA (ITARR) filter to the Feynman “Momentum” Portfolio introduced in Part 5 of the Study.

Since the “Momentum” strategy is, by itself, a dynamically adjusting strategy, the addition of a MA filter introduces few additional adjustments and changes in portfolio performance are minimal.

For readers interested in using more advanced “Adaptive” Moving Average (AMA) filters some references are provided for further reading.

Part 6-3 of the Feynman Portfolio Study is available as a downloadable Word file here with the detailed holdings contained in Appendix 8 available here.

In the course of performing this Part 6 analysis I discovered a minor error in the original analysis of the Feynman “Momentum” Portfolio as presented in Part 5 of this Study. A corrected version of Part 5 can be downloaded here together with the corresponding  revised Appendix 4 here.