The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing


Subject:  Re: Blending at a Whole New Level Date:  8/4/2008  6:41 PM
Author:  StevnFool Number:  211732 of 270999

Welcome back. Frankly, I've missed your participation in this 

With other things going on, I have only got up to date on this board 
now.  I was also very interested in your "Blends ride waves too!" 
thread which is quite convincing in the validity of the use of Sharpe 
for bull periods and Sharpe/GSD for bear periods.

I'm not sure what you mean here. The measure stated was the measure 
used for ranking the screens and determining which screens to select. 
So they would never use CAGR since that was not an option. Sharpe was 
used for when it was the measure selected. If you are referring to 
my various tables, most of the time I determined which measures were 
best by their Sharpe, not their CAGR.

The bit in bold answers my question.

Any other ideas on how to improve what has been done to date?

Nothing really at the moment, but I have a few more questions.

I want to get clarification on some of the numbers.  In post 211390, 
you posted results for the VL universe from 1989 - 9th Nov 2007 and you 
show the following results using Sharpe for Bullish and Sharpe/GSD for 
bearish for selecting a 20 stock 5 screen blend.

CAGR:  48.58%
GSD:   19.17
Sharpe:  2.07

I'm not quite sure what I am looking at below:

        Sharpe/GSD  Sharpe    Blend
CAGR %    34.60%    39.75%    45.41%  
GSD       15.41     26.72     19.43
Sharpe     1.83      1.34      1.93  
UI         4.97%    14.98%     5.25%
Max DD   -28.66%   -54.51%   -26.63%

What is listed here under Blend I presume is something close to what 
you reported in post 211390, but why are the results not identical.  Is it:

1.  Different time frame?
2.  Different universe?
3.  Something else?

Also, are the other columns only for the bear and bull periods 
respectively or are they for the full period?  if the latter, the 
Sharpe for Sharpe/GSD at 1.83 seems very high when compared to the 
resulting Sharpe of 1.57 for Treynor/GSD as reported in post 211385 
considering that Treynor/GSD was considered better than Sharpe/GSD
for selecting a blend for holding in both bull and bear.

I guess what I am really asking here is that 211390 seemed to be telling
me that by using this method rather than Treynor/GSD all the time, I could
increase the resulting Sharpe from 1.57 to 2.07 which is truly amazing.
The results above seem to be saying that using this method rather than
Sharpe/GSD will only increase the resulting Sharpe from 1.83 to 1.93 if
the 1.83 refers to what you would get using Sharpe/GSD all of the time.

Am I misreading something?

I need to read the "Blends ride waves too!" thread again as it may 
answer some of my questions, but it is too late tonight.


Copyright 1996-2018 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us