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|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/18/2007 6:09 PM|
|Author: StevnFool||Number: 204041 of 256157|
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.
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