Kahneman-Tversky Portfolio Review: 3 February 2023

Longboats at AoNang Beach, Krabi, Thailand

The Kahneman-Tversky Portfolio is a simple Dual Momentum Portfolio that needs little management/adjustment. It is split into two portions – one that is relatively slow in reacting to changes in market conditions – the Kahneman portion – and one that reacts a little more quickly (but may be more subject to whipsaw trades) – the Tversky portion. Performance over the past 13 months looks like this:

with very low volatility over the the past 6 months (purple line7).  Although the portfolio is trailing the benchmark AOR Fund a little, some investors may be more comfortable with the low volatility (compared to the green line).

Checking the rotation graphs for the slower moving Kahneman portion of the portfolio:

we see that no assets are currently trading with more momentum /(relative strength) compared to the reference SHY (short-term treasury) ETF. Therefore the current recommendation is to continue to hold SHY:

Rotation graphs for the faster reacting Tversky portion of the portfolio are shown in the following screenshot:

resulting in a recommendation to hold a position in VEU (International Equities):

and so, since these are our current holdings no adjustments are again required for this portfolio.

David