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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  8:28 PM
Author:  sailrmac Number:  204003 of 271065

Sharpe / GSD is roughly equivalent for ranking to CAGR / GSD squared. This means that GSD isn't just overweighted, it is heavily overweighted. Sticking some example numbers: CAGR = 30, GSD = 20 (20%)

CAGR / GSD squared = 30 / 20 * 20 = 30 / 400

When you are already overweighting GSD by this much vs. CAGR, it stands to reason a change in GSD doesn't effect the ranking result much.

One apple in a truckload of oranges or one apple in two truckloads of orange's ain't going to make the orange juice taste much different.
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