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Subject:  Re: MSS - sharpe 1.98 Date:  8/28/2000  3:23 AM
Author:  JimStrott Number:  78341 of 275560

Well, I ran GSD(M) analyses on this stunning thread.

It turns out that all of the 17-23% GSDs become ~35% when all months are taken into account. (I don't know how to reconcile this with klouche's result of ~26% -- I presume it's the difference in methods used).

The best performance is by Volki's blend in #78271, with CAGR/GSD = 94/35. His SOS of the same is barely worse, 92/34, but has the comfort of not doubling up (or worse -- several periods totally overlapped the blend, with a total of only 3 stocks).

I still like the complex half of the blend by itself, yielding 116/41.
Replacing PEGo with SOS-G (kind of adding RS52 to PEGo) gives 123/44.
Finally, StephenFool's SOS for the PEGo side, which mixes in RSCAP and PlowRSW, gives 129/44. Tweet, tweet, but holy cow!!

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