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Author: klouche 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 252700  
Subject: Re: Optimizing Blends with Sharpe/(GSD^x) Date: 11/17/2007 1:13 PM
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I don't see a mound of toast in this data, but it may be my eyes are a bit blurred at this point in the game. Let me know what the proposers think of these results.

On the Valueline only I get correlations below:


Param x CAGR GSD Sharpe Ulcer Index
-0.5 33.61% 27.13 1.14 12.54%
-0.25 32.03% 21.85 1.27 10.14%
0 34.20% 19.85 1.46 8.06%
0.25 33.68% 17.78 1.57 6.35%
0.5 28.57% 16.26 1.43 6.32%
0.75 27.31% 15.84 1.41 5.05%
1 27.32% 15.34 1.45 4.96%
1.25 26.26% 15.14 1.4 5.13%
1.5 26.22% 14.83 1.43 4.97%
1.75 26.23% 14.66 1.44 4.92%
2 26.10% 14.47 1.45 4.90%


Correlations
CAGR GSD Sharpe Ulcer Index
Param x (0.89) (0.86) 0.49 (0.85)
CAGR 0.81 (0.25) 0.78
GSD (0.77) 0.99
Sharpe (0.79)


Looks like not much variation with parameter .75 to 2.

The correlation between GSD and Ulcer is near perfect.

KL
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