Kahneman-Tversky Portfolio Review: 1 July, 2022

Rudesheim, Rhine Gorge, Germany

The Kahneman-Tversky Portfolio is a simple 3-asset portfolio managed by a Dual Momentum™ system that is diversified through the use of slow, long-term (252-day), and faster, short-term (60- and 100-day), look-back periods to calculate momentum/relative strength.

At the present time both portions of the portfolio are holding positions in short-term bonds (SHY) since equities and longer-term (20 yr) bonds have negative momentum. Current performance looks like this:

and has fallen behind the benchmark AOR equity/bond fund.

Checking on rankings and recommendations from the slower Kahneman portion of the portfolio:

we see that none of the three ETFs in the “quiver” are showing positive momentum – therefore funds will continue to be held in SHY.

A look at the rotation graphs:

shows relative weakness with everything moving in the wrong direction (top right to bottom left) – and confirms my decision to continue to hold a position in SHY.

Moving to rankings and recommendations from the faster moving Tversky portion of the portfolio:

we see the same thing – sell recommendations for all 3 ETFs – with rotation graphs:

still looking weak – although a little more encouraging in terms of relative strength in TLT.  However, I’ll give this another month to see how this might develop.

Bottom line – no adjustments this month and we’ll stick with short-term bonds (SHY).

David