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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  8:31 PM
Author:  Syvash Number:  204004 of 270765


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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