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Investing/Strategies / Mechanical Investing
|Subject: Re: The Best Measure for the Best Blend||Date: 11/17/2007 11:08 PM|
|Author: musselmant||Number: 204014 of 256019|
You can get 17% v. 11% for the S&P since 1969 with identical GSD to the S&P and a better Sharpe by monthly trading by putting 60% of money into T-Bills and 40% into the 20 stocks of the RS 13 screen, without timing at all.
CAGR 17 11
GSD 17 17
Sharpe 0.7 0.36
CAGR-3σ -27 -31
Blend 40% RS13WK 1-20, 60% T-Bill 1-1
It seems like timers have to generate better results than that to justify the risk of missing the key days of each year in which market gains occur.
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