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URL:  http://boards.fool.com/lookbacks-6-3-6-3-6-3-6-3-6-3-6-3-6--26882124.aspx

Subject:  Re: Blending at a Whole New Level Date:  8/7/2008  12:58 PM
Author:  StevnFool Number:  211805 of 253063

Lookbacks      6 / 3    6 / 3    6 / 3    6 / 3    6 / 3    6 / 3    6 / 3    6 / 3
 Lag Months      1        2        3        4        5        6        7        8
    CAGR      43.53%   42.08%   40.27%   43.78%   42.64%   42.68%   44.24%   44.13%
    GSD        18.85    19.01     18.7    18.26    18.14    18.78    18.81     18.8
   Sharpe       1.9      1.83     1.78     1.96     1.94     1.88     1.95     1.94

Well it looks like if you measure the return by Sharpe, I was on the 
right track when I said 

If this theory is correct, a 5 month lag should not be much worse 
than a 4 month lag and a 6 month lag should drop off further.

After that, I think it is getting probably just noise.  Even if it is 
all noise.  The average Sharpe for all of the above is 1.90 which is 
not bad.

StevnFool

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