With an extra month's data for the Dynamic Trading Risk Factor, we can look to see whether there has been any re-ordering of the members of the XLF that are selected for membership of the Poor Man's Hedge Fund.

The above data shows no change to our prior computation, and the membership is still:

1. Invesco plc IVZ
2. Goldman Sachs Group Inc. GS
3. Morgan Stanley MS
4. T Rowe Price Group Inc. TROW
5. Janus Capital Group Inc. JNS
6. Ameriprise Financial Services Inc. AMP
7. Franklin Resources, Inc. BEN
8. Lincoln National Corp. Inc. LNC

Note that Ameriprise is no longer in the top five, having been replaced by Janus.

Our original Poor Man's Hedge Fund was built from five stocks. However, evidence presented in a recent post, studying the tracking of portfolios of various sizes, suggests that the right number might be larger. If one looks at the chart in detail, it's probably best to conclude that the optimal size is somewhere in the region 4–10 stocks. Since my prior bias is too include more stocks, thereby acting to reduce the exposure to idiosyncratic factors, I decided to go with the eight stocks that give the best tracking, as measured by the in sample regression R². The data for these eight are listed in the table below.

The added companies are:

1. Janus Capital Group Inc. JNS
2. Franklin Resources Inc. BEN
3. Lincoln National Corp. LNC