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http://boards.fool.com/since-sharpe-is-essentially-cagr-c-gsd-where-26109680.aspx
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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 243420 | |
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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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