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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/17/2007  11:09 PM
Author:  Zeelotes Number:  204015 of 271120

Elan wrote:
This demonstrates how easy it is to lie, or be misled, by statistics. I don't think you meant to lie or mislead. But by presenting only the 20 lookback for the 4 stock screens in the prior message, I thought you were saying there was no difference between ranking by Sharpe and ranking by Sharpe/GSD. I don't think that was the intended conclusion.

The reason I set it to 20 was to avoid stacking the deck in favor of Sharpe/GSD, which is what would have resulted if I had set the lookback to the value that is optimal for Sharpe/GSD. Setting it to a value that produced an equal Sharpe, put the two on an equal footing.

The main point on Sharpe/GSD is that if you take the results of all the tests and sort by Sharpe, the first Sharpe-based result is at position #45 out of 285 tests. In other words, Sharpe is no where near as good as Sharpe/GSD, Treynor, UPR or Sortino, but the values get closer as you go down in that list.

What conclusions can we reach in your view based on the data presented to date?
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