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Subject:  Re: Blending at a Whole New Level Date:  7/22/2008  3:11 AM
Author:  lsmr409 Number:  211386 of 270769


A couple of basic questions about the method and data...

When you are backtesting a blend based on "Sharpe ASC", this means that each year, you choose the five screens (ranks 1-4) which have, up to that point in time, the lowest historical Sharpe ratios among all of our VL screens. Is that correct? If so, then based on the "All Measures Compared" table, choosing the five screens with the worst Sharpe ratios each year would have produced a bullish CAGR of 34.83% and a bearish CAGR of 25.83%. Is that right?

How many VL screens are in the universe that you're drawing from -- is it all VL screens that are in our current rankings?

Thanks so much,

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