Question on FTCA algorithm implementation

[lequant40]

Hello SIT !

I know this dates back several years, but I would have a question on the FTCA algorithm implementation:

SIT/R/strategy.r

Line 2276 in 6327d4e

cluster.group.FTCA <- function

Compared to the pseudo-code of Mr Varadi (https://cssanalytics.wordpress.com/2013/11/26/fast-threshold-clustering-algorithm-ftca/), I can read that if the correlation between HC and LC > threshold, while Mr Varadi pseudo-code is Add to Cluster all other assets that have yet been assigned to a Cluster and have an Average Correlation to HC and LC > Threshold, the FTCA code implemented here seems to assign all remaining assets to the HC/LC cluster.

Would you remember why is that ?

Cheers,

Roman