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Investing/Strategies / Mechanical Investing
|Subject: Re: The Best Measure for the Best Blend||Date: 11/16/2007 1:58 AM|
|Author: elann||Number: 203946 of 265576|
What is the absolute best measure for finding the best blend?
If it isn't already, this should be the key question in everyone's mind -- at least, everyone who employs a blend for their MI investing. I've done hours and hours of testing over the past year or so to answer this question, compiling tests that include hundreds of millions of data points. At the very core, each test is trying to determine which measure is the most predictive of future return.
You're right about the question, and thank you for offering an answer.
You mentioned two measures that I've never heard of - Jensen and Treynor. Could you define them or point to their definition?
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