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URL:  http://boards.fool.com/i-reran-the-1999-to-present-test-separating-vl-and-26109971.aspx

Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  11:01 PM
Author:  Zeelotes Number:  204012 of 254166

I reran the 1999 to present test separating VL and SIPRO screens. The results are a bit more clear it seems to me. What I'm seeing here is that a standard Sharpe/GSD is still optimal -- any slight rise above this at higher values is not sufficient to warrant adopting a higher weighting of the GSD.
VL Screens                                
Parameter x CAGR GSD Sharpe Ulcer Index
-0.5 3.34% 39.93 0.16 44.42%
-0.25 14.05% 30.42 0.49 13.21%
0 19.64% 29.3 0.7 8.36%
0.25 25.15% 21.77 1.05 5.65%
0.5 19.75% 16.15 1.04 5.23%
0.75 20.09% 16.42 1.05 5.28%
1 22.36% 15.99 1.19 4.76%
1.25 22.36% 15.99 1.19 4.76%
1.5 22.36% 15.99 1.19 4.76%
1.75 22.94% 15.97 1.23 4.74%
2 21.08% 15.62 1.14 5.47%

SI Screens                                     
Parameter x CAGR GSD Sharpe Ulcer Index
-0.5 46.40% 32.27 1.38 13.74%
-0.25 38.27% 24.91 1.41 10.48%
0 39.89% 23.45 1.53 9.13%
0.25 39.32% 22.09 1.58 7.62%
0.5 38.47% 21.96 1.56 7.79%
0.75 40.55% 21.42 1.67 7.02%
1 40.96% 21.08 1.7 6.85%
1.25 42.11% 20.84 1.76 6.48%
1.5 36.66% 19.62 1.63 6.09%
1.75 40.58% 20.19 1.75 6.04%
2 40.58% 20.19 1.75 6.04%
2.25 38.58% 18.97 1.76 5.89%
2.5 36.40% 18.87 1.67 5.92%
2.75 34.56% 18.61 1.61 6.21%
3 33.62% 18.38 1.59 6.22%

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