The Kahneman-Tversky is a Dual Momentum (DM) portfolio that is split into two portions – one using a long look-back (slow) period and one using a shorter term (fast) look-back periods to measure momentum. Performance over the past 16 months looks like this: and is underperforming the benchmark AOR fund as a result of using […]

The Kahneman-Tversky (K-T) Portfolio is a simple Dual Momentum portfolio that is split into a “slow” (Kahneman) portion and a “fast” (Tversky) portion based on long (252-day) and short (100- and 60-day) lookback periods for measuring momentum. Performance of the portfolio over the past 15 months looks like this: and is lagging the benchmark AOR […]

The Kahneman-Tversky portfolio is a simple Dual Momentum portfolio that chooses one of three assets in which to invest. The only other “diversification” results rom the fact that the portfolio is split between portions that use “slow” and “fast” lookback periods to measure “momentum”. Performance of the portfolio is shown in the following screenshot: that […]

The Kahneman-Tversky (K-T) Portfolio is a simple Dual Momentum portfolio that invests in only one of three possible assets available within the quiver. It does have an additional dimension of diversification in that two different lookback scenarios are used to measure momentum – a slow 252-day lookback for the Kahneman portion and a faster 60- […]

The Kahneman-Tversky portfolio is presently sitting with 100% in Cash after 1.65 Standard Deviation TSLO’s were hit on 4 October, shortly after the last review. The equity/performance graph looks like this: As we can see from the above screenshot this is the second time this year that TSLO’s have hurt the performance of this portfolio […]

The Kahneman-Tversky (K-T) Portfolio is a simple three-asset Dual Momentum portfolio split between a “slow” portion (Kahneman) with a single 12 month momentum look-back period and a “fast” (Tversky) portion with shorter 60- and 100-day momentum look-back periods.  Each portion holds just one, highest ranked momentum, asset. Let’s take a look at recent performance: where […]