The Kahneman-Tversky (K-T) Portfolio is a modified simple Dual Momentum portfolio that chooses only one asset from the three assets – VTI (US Equities), VEU (International Equities) and AGG (US Aggregate Bonds) – available within the K-T “quiver”. The Kahneman and Tversky portions of the portfolio differ only in the look-back periods chosen for momentum ranking.
At present, the K-T portfolio is 100% invested in AGG in both portions of the portfolio – so let’s check on performance:
As we would expect, both portions of the portfolio (Red and Blue lines) show identical relative performance over the past month with total returns currently falling a little short of the benchmark VTTVX fund.
So now it’s time to check on current rankings and recommendations – first for the Kahneman portion that uses a single 252-day momentum look-back period:
where, although we see strong short-term trends in the HA candles for all assets, AGG is still the recommended holding based on stronger long-term relative momentum (LRS1).
Looking at the Tversky portion, that uses our ITA “standard” 60- and 100-day look-backs, we get the following picture:
where AGG also retains the number 1 spot for recommended Buys. Although I classify this portfolio as a Dual Momentum portfolio it differs slightly in that, since VTI ranks equal to SHY (the reference cut-off filter) I might choose VTI if I were sticking strictly with Antonacci rules. However, since AGG currently outranks VTI, although returns might be expected to be better from an equity ETF, I will stick with AGG.
For members who might think that AGG is a poor performer let’s check the LRPC chart:
where we can see that AGG has generated a ~6% return in 2019. Remember that the above chart shows adjusted closing prices, so dividends are included in this 6% return. An annualized 12% return is not too bad for a boring low-volatility bond ETF.
So this months review is quick and simple – no change for the next month, with less than 1.5% portfolio risk.