The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing

URL:  http://boards.fool.com/for-the-curious-here-are-the-best-blending-26845237.aspx

Subject:  Re: Blending at a Whole New Level Date:  7/25/2008  10:56 AM
Author:  Zeelotes Number:  211501 of 253286

For the curious, here are the best blending measures for 2008, from 1/1/2008 to 7/21/2008 to be exact. Remember that this is building a blend of five screens holding ranks 1-4 from each screen for a total hold of twenty stock positions. So if you had chosen to build your screen by one of these measures you'd be doing pretty good so far this year.

You'll note from above that if you sorted so that the best was at the top of the two periods Ulcer Index or Sleep Ratio would be vying for the top position, and they are the ones that are best for 2008.

        Screen              Sort       ROI    CAGR    GSD   Sharpe  Ulcer Index  Blend Win %  Screen Win %
Sleep Ratio Ascending 19.18% 37.99% 25.63 1.36 2.57% 100% 100%
Ulcer Index Ascending 19.18% 37.99% 25.63 1.36 2.57% 100% 100%
CAGR/(UPI^x) Ascending 19.18% 37.99% 25.63 1.36 2.57% 100% 100%
CAGR/(UI^x) Descending 18.01% 35.51% 26.34 1.29 2.80% 100% 100%
Ulcer Performance Index Descending 18.01% 35.51% 26.34 1.29 2.80% 100% 100%
Sharpe/(GSD^x) Descending 15.99% 31.28% 25.57 1.17 3.77% 100% 80%
Treynor/(Beta^x) Descending 13.73% 26.64% 21.25 1.17 2.76% 100% 80%
Treynor/(GSD^x) Descending 13.73% 26.64% 21.25 1.17 2.76% 100% 80%
CAGR/(SF^x) Descending 13.64% 26.45% 23.98 1.06 3.71% 100% 80%
Sortino Descending 13.64% 26.45% 23.98 1.06 3.71% 100% 80%
Calmar Descending 13.64% 26.45% 23.98 1.06 3.71% 100% 80%
Upside Potential Ratio Descending 13.64% 26.45% 23.98 1.06 3.71% 100% 80%
CAGR/(GSD^x) Descending 13.14% 25.43% 24.23 1.03 3.28% 100% 80%
Sharpe Descending 13.14% 25.43% 24.23 1.03 3.28% 100% 80%

Copyright 1996-2014 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us