The last 3 weeks have been a bit of a roller coaster with the S&P 500 first down ~7.5% (9.8% from the absolute highs in September) followed by a quick bounce (recovery ?) to end up essentially where we started 3 weeks ago:
The current positions of our Derby “horses” are shown below:
with “horses”defined by portfolios with asset allocations equally weighted in the following ETFs:
All “horses” have improved in performance over the past week with 10_4 (no clustering) being the big winner due to the performance of the high beta ETF, IBB (Biotech) that has returned 9.8% over the past 2 weeks. 10_4 has now moved into the lead in front of C_C4 (double cluster analysis).
After 12 weeks there is still no clear indication as to the benefit (or otherwise) of cluster analysis as applied to an asset list of 100 ETFs in which we wish to pick the “best” 4 candidates to include in our portfolio. It is interesting to note that, despite the recent general market volatility, the volatility of all portfolios has been relatively modest.