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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/18/2007  6:09 PM
Author:  StevnFool Number:  204041 of 270548

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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