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Subject:  Re: MSS - sharpe 1.98 Date:  8/28/2000  1:20 PM
Author:  Pergamon Number:  78385 of 275508

tpto said:
When is it better to search for a great Sharpe Ratio
vs. a great CAGR and a good Sharpe Ratio?

It's easier to get very high CGAR's when you only have 2-3 stocks, go to 6 to 20 stocks and try...

see this:

This is a combination of screen switch and a touch of Kuperman foundation blend.
I've included also HighPrice, so my start date begins in 1989.

GSD 31

If you run it from 1986 the figures go a bit down, but keep in mind that the money corresponding to highprice is not invested.

GSD 29
sharpe: 1.59

And the performance of the screen's YTD: 53

This is a diversified screen with the majority of it's months between 12 and 16 stocks.


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