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http://boards.fool.com/jeff-asked-have-you-tried-cagrgsdgsd-nope-26104928.aspx
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| Subject: Re: The Best Measure for the Best Blend | Date: 11/16/2007 4:11 AM | |
| Author: Zeelotes | Number: 203952 of 243290 | |
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Jeff asked: Have you tried CAGR/(GSD*GSD)? Nope, it has about a .88 correlation with CAGR/GSD and .82 with the Sortino -- based on January 2007. It is interesting which screens pop to the top with that method. Syvash asked: Is GSD in SHARPE/GSD for past 12 months of returns with daily data? No, the Sharpe and the GSD are both based on the same # of years. I do not have the ability to set them as different, at least, not as of right now. |
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