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Investing/Strategies / Mechanical Investing
|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/17/2007 8:31 PM|
|Author: Syvash||Number: 204004 of 247029|
Looking at your last table:
If you ignore the row with the Sharpe value of 1.57 then One would see a VALLEY of TOAST (min.) by ploting Sharpe vs. Ulcer Index.
Or the best choice would be the Ulcer Index at min. with Sharpe at almost max value.
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