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Investing/Strategies / Mechanical Investing
|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/17/2007 7:46 PM|
|Author: Zeelotes||Number: 203998 of 262212|
Can you explain the difference between the two results?
The test in this thread is based on ranks 1-4, while the test in the previous thread is off of ranks 1-10. I purposefully chose a lookback of 20 years for this test because the Sharpe and Sharpe/GSD had the exact same resulting Sharpe from the backtests. I wanted to put them on an even footing. Here is a table showing Ranks 1-10 as I posted before with Ranks 1-4 on the right side for comparison.
Ranks 1-10 Ranks 1-4
You indicate that your first test started in 1999. Did you mean 1989?
No, it has to start in 1999 to put VL and SIPRO on a more or less even footing. Remember, this is investing in six screens with three from each.
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.
I see it as better mainly because it consistently results in a much lower GSD. Let me illustrate:
Years Ranks 1-10 Ranks 1-4