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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  3:04 PM
Author:  StevnFool Number:  203988 of 271078


Thanks for doing this. You indicate that your first test started in 1999. Did you mean 1989?

I don't believe there is evidence here to suggest that any other value is superior to the default value of 1.00. It is interesting that in terms of resulting Sharpe, using Sharpe/GSD (X = 1) instead of Sharpe (X = 0) seems to help when there are SIPRO screens in the mix, but has little impact on resulting Sharpe when limited to Valueline screens. It does result is a lower GSD though which is not a bad thing.

My vote would be to stick with Sharpe/GSD (X=1). I'm not sure how much better it is as a predictor over Sharpe alone, but your results would suggest that it is not any worse.

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