The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing

URL:  http://boards.fool.com/i-dont-see-a-mound-of-toast-in-this-data-but-it-26108961.aspx

Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  1:13 PM
Author:  klouche Number:  203986 of 253806

I don't see a mound of toast in this data, but it may be my eyes are a bit blurred at this point in the game. Let me know what the proposers think of these results.

On the Valueline only I get correlations below:


Param x CAGR GSD Sharpe Ulcer Index
-0.5 33.61% 27.13 1.14 12.54%
-0.25 32.03% 21.85 1.27 10.14%
0 34.20% 19.85 1.46 8.06%
0.25 33.68% 17.78 1.57 6.35%
0.5 28.57% 16.26 1.43 6.32%
0.75 27.31% 15.84 1.41 5.05%
1 27.32% 15.34 1.45 4.96%
1.25 26.26% 15.14 1.4 5.13%
1.5 26.22% 14.83 1.43 4.97%
1.75 26.23% 14.66 1.44 4.92%
2 26.10% 14.47 1.45 4.90%


Correlations
CAGR GSD Sharpe Ulcer Index
Param x (0.89) (0.86) 0.49 (0.85)
CAGR 0.81 (0.25) 0.78
GSD (0.77) 0.99
Sharpe (0.79)


Looks like not much variation with parameter .75 to 2.

The correlation between GSD and Ulcer is near perfect.

KL
Copyright 1996-2014 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us