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Subject:  Re: Optimizing Blends with Sharpe/(GSD^x) Date:  11/18/2007  6:25 PM
Author:  StevnFool Number:  204043 of 258109

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


I think you have made a compelling case that Sharpe/GSD is more predictive of future Sharpe than Sharpe. The additional data that you have posted since your initial post in the thread have helped confirm this in my mind.

In relation to Treynor, I don't know enough about it to comment. An advantage of Sharpe/GSD is that the public backtesters tend to spit out the data needed to calculate it easily.

Back to the prediction of the Sharpe Ratio of a future blend. Lets say you choose to use Sharpe/GSD as your metric to select your blend. Have you done any testing to indicate which of the following methodologies is more predictive of future Sharpe.

1) Optimizing to select a blend with max value of past Sharpe/GSD.

2) Sorting all screens by past Sharpe/GSD and picking the top X screens and possibly removing some high overlap screens and going down the list a bit deepe