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Subject:  Re: The Best Measure for the Best Blend Date:  11/23/2007  12:31 PM
Author:  emintz Number:  204237 of 264171


What about the calculation of the Sharpe of the resulting optimization? Is this the Sharpe using the monthly granularity? Do you think it makes a difference if you use daily or annual? For example, does optimization using the daily values still produce worse results if you calculate the Sharpe using daily data? Or is annual granularity better at predicting annual sharpe?

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