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You are here: Home / ITA Portfolios / Kahneman-Tversky Portfolio / Kahneman-Tversky Portfolio Review: 3 June, 2022

Kahneman-Tversky Portfolio Review: 3 June, 2022

June 5, 2022 By HedgeHunter Leave a Comment

Kahneman-Tversky Portfolio Review: 3 June, 2022 1

Maui Shoreline

The Kahneman-Tversky portfolio is a simple Dual Momentum portfolio with a choice of only one asset (other than Cash) from a quiver of three. Portfolio performance to date looks like this:

Kahneman-Tversky Portfolio Review: 3 June, 2022 2and is significantly lagging the benchmark AOR fund as a result of using Trailing Stop Loss Orders (TSLOs) last year and is in a ~17% draw-down since the end of August.

The “slow” (Kahneman) portion of the portfolio, that uses a single 252-day momentum look-back period, is presently holding a position in US Equities (VTI) so we’ll check current rankings and recommendations:

Kahneman-Tversky Portfolio Review: 3 June, 2022 3where we see no Buy recommendations and a Sell recommendation for VTI.

Taking a look at the rotation graphs:

Kahneman-Tversky Portfolio Review: 3 June, 2022 4we get a very negative picture of all assets.

Moving to the faster moving Tversky portion of the portfolio (that is presently in Cash), that uses a combination of 60- and 100-day momentum look-back periods:

Kahneman-Tversky Portfolio Review: 3 June, 2022 5we see the same Sell recommendations for all assets.

Checking the shorter term rotation graphs:

Kahneman-Tversky Portfolio Review: 3 June, 2022 6does nothing to increase our expectations.

Based on the above, I am going to move everything into SHY. While this is not too exciting, the HA Charts look OK, so maybe we can pick up a little in dividends as we wait to see what happens in the equity and longer-term bond markets:

Kahneman-Tversky Portfolio Review: 3 June, 2022 7

David

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Filed Under: Kahneman-Tversky Portfolio, Portfolio Management, Portfolio Performance Tagged With: Kahneman-Tversky Portfolio, Portfolio Management, Portfolio Performance

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