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Subject:  Re: MSS - sharpe 1.98 Date:  8/28/2000  2:55 PM
Author:  pboisver Number:  78403 of 275554

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

For now I'm ok with 3 to 5 stocks in this part of my
portfolio since it's only about 1/4 of my net worth.
(I include house equity, cash, company stock options,
401Ks stuck in index funds etc.)

I have been using the Purple Egg SoS for the
last five months for reasons explained elsewhere. It
has returned ~15% in five months. Since it is my
favorite SoS I decided to blend it with one of the
recently touted MSS screens.

I report the 86-98 results because the 635% gain in
1999 plays hob with the Sharpe Ratio (unfairly I

CAGR: 106
GSD: 23
Ratio: 2.28

The minimum gain ('92) is 51%, 7 of 14 years greater
than 100% (not including '99). Almost half the months
pick 4 stocks, the other half are equally divided
between 3 and 5 stocks. Maximum drawdowns etc. look
pretty good too.


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