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Investing/Strategies / Mechanical Investing
|Subject: Re: The Best Measure for the Best Blend||Date: 11/16/2007 4:11 AM|
|Author: Zeelotes||Number: 203952 of 254100|
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.
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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