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Author: StevnFool Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 251797  
Subject: Re: The Best Measure for the Best Blend Date: 11/17/2007 3:09 PM
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Here you are -- the year lookbacks are along the left side:

Sharpe  Jensen  Sharpe  Sharpe/GSD  Treynor  
1      0.94    1.26      1.67       1.39  
3      0.96    1.03      1.25       1.38  
5      0.99    1.39      1.65       1.39  
7      1.00    1.32      1.61       1.45  
9      1.18    1.34      1.51       1.62  
11     1.17    1.42      1.57       1.60  
13     1.21    1.45      1.53       1.57  
15     1.21    1.42      1.51       1.57  
17     1.22    1.38      1.62       1.50  
19     1.16    1.37      1.62       1.54  
21     1.19    1.33      1.63       1.60  
23     1.19    1.33      1.63       1.54  
25     1.19    1.33      1.63       1.58  
27     1.16    1.33      1.63       1.52  
29     1.16    1.33      1.63       1.59

Thanks.  The results look more stable at the longer lookback.  I think I 
would use all available data if using a common lookback for both Sharpe 
and GSD.

StevnFool
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