The Motley Fool Discussion Boards
Investing/Strategies / Mechanical Investing
|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/18/2007 6:09 PM|
|Author: StevnFool||Number: 204041 of 254678|
You've got your units wrong. I think it's more like -
CAGR / GSD squared = 1.30 / 1.20 * 1.20 = 1.30 / 1.44
I am not sure if you are correct. Certainly for Sharpe/GSD, the GSD value in the above example would be 20 and not 1.20.
To confirm how Zeelotes calculates the Sharpe/GSD ratio, look at the first table in the first post in this thread.
|Copyright 1996-2015 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us|