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URL:  http://boards.fool.com/param-x-cagr-gsd-sharpe-ulcer-index-05-3361-26109802.aspx

Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  9:00 PM
Author:  lsmr409 Number:  204007 of 254184

Param x	CAGR	GSD	Sharpe	Ulcer Index
-0.5 33.61% 27.13 1.14 12.54%
-0.25 32.03% 21.85 1.27 10.14%
0 34.20% 19.85 1.46 8.06%
0.25 33.68% 17.78 1.57 6.35%
0.5 28.57% 16.26 1.43 6.32%
0.75 27.31% 15.84 1.41 5.05%
1 27.32% 15.34 1.45 4.96%
1.25 26.26% 15.14 1.4 5.13%
1.5 26.22% 14.83 1.43 4.97%
1.75 26.23% 14.66 1.44 4.92%
2 26.10% 14.47 1.45 4.90%
Hmm, with the data in the table that klouche presented, it looks as if the CAGR stays relatively constant from x = -0.5 to 0.25 while GSD decreases significantly. After 0.25, CAGR drops and then stays fairly constant, while GSD continues to decrease gradually. Why wouldn't we say that x = 0.25 is the best value for risk-adjusted return?

Todd
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