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 […]