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URL:  http://boards.fool.com/stevnfool-requested-would-you-be-able-to-post-a-26108362.aspx

Subject:  Re: The Best Measure for the Best Blend Date:  11/17/2007  6:46 AM
Author:  Zeelotes Number:  203982 of 254189

StevnFool requested:
Would you be able to post a table showing the resulting Sharpe
ratio for all of the different lookbacks used for calculating
Sharpe/GSD.


Here you are -- the year lookbacks are along the left side:
Sharpe  Jensen  Sharpe  Sharpe/GSD  Treynor
1 0.94 1.26 1.67 1.39
3 0.96 1.03 1.25 1.38
5 0.99 1.39 1.65 1.39
7 1.00 1.32 1.61 1.45
9 1.18 1.34 1.51 1.62
11 1.17 1.42 1.57 1.60
13 1.21 1.45 1.53 1.57
15 1.21 1.42 1.51 1.57
17 1.22 1.38 1.62 1.50
19 1.16 1.37 1.62 1.54
21 1.19 1.33 1.63 1.60
23 1.19 1.33 1.63 1.54
25 1.19 1.33 1.63 1.58
27 1.16 1.33 1.63 1.52
29 1.16 1.33 1.63 1.59
CAGR Jensen Sharpe Sharpe/GSD Treynor
1 29% 31% 24% 35%
3 29% 28% 22% 33%
5 31% 27% 22% 32%
7 30% 27% 21% 34%
9 38% 29% 20% 36%
11 37% 29% 21% 37%
13 39% 30% 21% 36%
15 39% 29% 20% 36%
17 39% 28% 22% 35%
19 38% 27% 22% 35%
21 38% 27% 22% 36%
23 38% 27% 22% 35%
25 38% 27% 22% 36%
27 37% 27% 22% 35%
29 37% 27% 22% 36%

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