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URL:  https://boards.fool.com/tpto-said-when-is-it-better-to-search-for-a-great-13202887.aspx

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?

http://gritton.org/ws/sos/?v86000101OOrqrss12rqpss23pqpss23pq22USWdjSSbwrqlbrs5m5l2UOVpqpw314l2Up1c.9U10m10l5


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:

http://gritton.org/ws/blend/?vi10000t899901SW01djSTrm13USTpq13Up1c0U34nST01ke14U10nSW01djSSbwrqlbrs5m5l3UOVpqpw314l3Up1c0.9U34nST12ss15U14nST01hp12U8n

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.

CGAR:94
GSD 31
Sharpe:1.67

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.

CGAR 85
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.

Francisco








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