Week 6 was a bad week for the “horses” in the Hawking Derby. After last week’s “handover” to the new assets, all 4 horses stumbled significantly although 10_4 is still in the lead and C_C4 has moved up from 3rd last week and into 2nd place:
As a reminder, the “horses” are represented by the following assets:
Note that 10_C4 and C_4 (2nd and 3rd portfolios in the above table) contain the same combination of assets and so will behave identically (on a % return basis) over the next 4 weeks to the October adjustment date.
It is maybe significant to note/remember that these portfolios (although generated through momentum ranking methodology) are currently dominated by International equity assets and have not held up as well, over the last week, as US equities – we’ll watch and see what happens going forward.
There is still no conclusion to be drawn as to which sorting/ranking methodology may be better in the long run – we will probably have to wait many months/years to ascertain whether there are, in fact, any obvious, consistent, differences. About the only (significant?) observation to be made at the moment is that, as might be expected, C_C4, the double cluster-analyzed portfolio (currently in 2nd place) is showing lower volatility than the other portfolios. In a few more weeks, when we have enough data to make the statistics a little more meaningful I will quantify the volatility and look at the risk adjusted returns (~Sharpe Ratio).
For members interested in the details of the Cluster analysis, below are the hierarchical cluster diagrams for the final sorts of the 10_C4 and C_C4 portfolios (as of the 05/09/2014 analysis date):
For the 10_C4:
and, for the C_C4: