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Author: JeffLandon One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252749  
Subject: Re: Optimizing Blends with Sharpe/(GSD^x) Date: 11/17/2007 6:21 PM
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I always thought that the ultimate goal was to increase CAGR, not Sharpe. I thought people shot for high Sharpe because they thought that was how to get high CAGR. "Can't predict CAGR, but maybe we can predict Sharpe, so maybe we should aim for that."

I agree it would be silly to aim for high arithmetic mean return. But isn't a high geometric mean the absolute ultimate final goal to measure by? The way you know you won?

If we're aiming for high CAGR, the study looks a bit different.

And if you're not aiming for high CAGR, why aren't you? If your answer is "pain" or "short time horizon," well, you're already investing in a manner than can cause great pain. I want a better answer.

At this point, what do you think you can predict, and how confident are you? CAGR? Sharpe? GSD? Anything?
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