Kahneman-Tversky Portfolio Review: 3 June, 2022

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:

and 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:

where we see no Buy recommendations and a Sell recommendation for VTI.

Taking a look at the rotation graphs:

we 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:

we see the same Sell recommendations for all assets.

Checking the shorter term rotation graphs:

does 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:

David