Kahneman-Tversky Portfolio Review: 28 February 2022

Bushmills Inn, Ireland

The Kahneman-Tversky portfolio is a simple Dual Momentum portfolio that chooses one of three assets in which to invest. The only other “diversification” results rom the fact that the portfolio is split between portions that use “slow” and “fast” lookback periods to measure “momentum”.

Performance of the portfolio is shown in the following screenshot:

that shows how the use of Trailing Stop-Loss Orders (TSLOs) hurt the performance of this portfolio in 2021. I am presently not using TSLOs for this portfolio. Recent performance is very much in line with the performance of the benchmark AOR Fund.

In the “slow” Kahneman portion of the portfolio we re presently holding shares in US Equities (VTI) and rotation graphs:

confirm that VTI still has the strongest relative long-term momentum – despite the fact that this strength is decreasing. Rankings and recommendations from the Kipling workbook look like this:

i.e. the recommendation is to continue to hold positions in VTI.

Moving to the “faster” Tversky portion of the portfolio, rotation graphs look a little different:

and VEA remains the strongest asset over this shorter look-back period.

This is confirmed by the rankings and recommendations:

so we will continue to hold VTI in the Kahneman portion and VEA in the Tversky portion as we have for the past couple of months.

David