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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/18/2007  3:24 PM
Author:  JeffLandon Number:  204032 of 258129


I simply point out that every time you explore a function that you haven't looked at before (say, CAGR/GSD^x), you have the opportunity to see what it might be good at measuring.

I still have not been convinced that shooting for high Sharpe is somehow safer than shooting for high CAGR, if we had a way to predict CAGR that rivaled how well we can predict GSD).

Note that's NOT the same as chasing screens with high CAGRs historically--we know that CAGR is a relatively poor predictor of CAGR. Some people seem to think I would like to chase screens with high historical CAGR when I'm saying that I would like to chase high future CAGR.

If I could predict CAGR as well as I could predict GSD, I'd go for t