As usual, let’s take a look at the performance of this very simple portfolio since inception in March:
As can be seen in the above figure both the Kahneman (green line) and Tversky (yellow line) components of this portfolio continue to track the reference VTTVX Fund (blue line) very closely. As another reference I have also added the performance of the S&P 500 (as represented by SPY – brown line). At present we are slightly outperforming the S&P Index. There is an apparent divergence in performance in mid June but this is due to the fact that the equity assets went ex-dividend on June 21 and this appears to be reflected in the Fund performance but is not reflected in the Portfolio performance until the dividends were paid on June 27.
When we examine current rankings we see the following:
For the Kahneman:
…. and, for the Tversky:
The obvious difference here is that AGG has dropped below SHY in the Kahneman (252-day lookback) rankings.
If we look at standard charts …..
….. we may wonder why we were invested in AGG since the 12-month momentum (red line) seems obviously negative – and we require momentum to be positive for assets to be included in the portfolio. However, we are interested in total returns and dividends are not reflected in the standard charts. For this we need to look at adjusted closing prices….
…. now we can see that momentum has only recently turned negative. Also we note that price would have to increase significantly over the next few days for this to reverse. Note that the ~3- and ~6-month momentum (green lines) is still strongly positive so AGG is still a candidate for inclusion in the Tversky portion of the portfolio.
Although not exit signals we also have warning signals from the red short-term HA candles and the red 13 EMA indicators for all assets.
Based on the above I have sold my 47 share holding in AGG in the Kahneman portion of the portfolio (leaving me with 46 shares in the Tversky portion) and have used the cash to purchase 61 shares in SHY.