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Subject:  Re: The Best Measure for the Best Blend Date:  11/17/2007  7:48 PM
Author:  sailrmac Number:  203999 of 271091

Since Sharpe is essentially CAGR - C / GSD, where C is a constant, and you are using this as a ranking indicator, the constant C isn't really changing anything. For ranking purposes Sharpe / GSD / GSD should give the same ranking as CAGR / GSD squared. Other methods that could be explored would be CAGR / GSD *x (x being a variable to solve for), rank by GSD top x, then by CAGR, etc.
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