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Subject:  Re: Blending at a Whole New Level Date:  7/23/2008  11:52 PM
Author:  elann Number:  211451 of 264170

Elan wrote:
Actually I ended up using Sharpe/GSD because Treynor seems to have kind of a strange behavior when ranking screens. For some reason it occasionally rewards screens that don't look very good to me.

Do you mean Treynor/GSD or just Treynor? I can post all of the historical screens selected if interested.

I meant Treynor/GSD. Treynor alone favors very aggressive screens.

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