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Is it possible for you to post unzipped version of your file if only for a few days? My unzipping program does not seem to work. It tells me that the date is wrong and I can not find the unzipped file. Alternative to posting unzipped file: is there any good unzip programs I can download from the net?

A couple of comments to add to my previous message:

1). Efficient frontier should be decided for the whole portfolio and not just for a portion of your assets. However, for obvious reasons, the numbers of possible combinations of screens to test becomes extremely large if one includes monthly, SOS, switching, yearly candidates, etc. as well. One possible solution is to do eliminate some screens based on CAGR and Sharpe ratios, for example. Would it work and can your tool be modified to look at the whole portfolio? Also, what is your motivation to use more of 3 month screens vs. monthly and yearly screens?

2). Autocorrelation for all the screens needs to be determined, IMO. This will tell us what is the appropriate look back period for the creation of efficient frontier. Like so many things in MI, the empirical evidence will be important in the final analyses. For example, as you know, RS type screens have done extremely well for the last few years and one would like to start capturing this outperformance as soon as possible.

Thanks for posting your results -- I always read with interest your posts.

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