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Subject:  Re: The Best Measure for the Best Blend Date:  11/20/2007  6:23 AM
Author:  Zeelotes Number:  204090 of 270823

Emintz wrote:
Another approach to your optimization is to use the Sharpe ratio, but modify the risk-free rate as a constant rather than using the treasury yield. For example, something I might call Sharpe(8) using a figure of 8% as the risk-free rate. You could vary that number and see how it affects future returns.

No comment on the results I posted? I'd like to hear what you think about how this test turned out. Is it what you expected? What conclusions would you draw from it, if any?
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