The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing


Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  8:31 PM
Author:  Syvash Number:  204004 of 264123


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.


Copyright 1996-2016 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us