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Author: Zeelotes Big red star, 1000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253782  
Subject: Re: The Best Measure for the Best Blend Date: 11/16/2007 4:11 AM
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Jeff asked:
Have you tried CAGR/(GSD*GSD)?

Nope, it has about a .88 correlation with CAGR/GSD and .82 with the Sortino -- based on January 2007. It is interesting which screens pop to the top with that method.

Syvash asked:
Is GSD in SHARPE/GSD for past 12 months of returns with daily data?

No, the Sharpe and the GSD are both based on the same # of years. I do not have the ability to set them as different, at least, not as of right now.
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