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exp

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Alias Born 03/18/2001

exp

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Re: A deleted message

Friday, 03/21/2003 11:16:31 AM

Friday, March 21, 2003 11:16:31 AM

Post# of 37180
yes, i am familiar with Bill Sharpe's ratio:
http://www.gsb.stanford.edu/news/headlines/sharpe_nobel.shtml

clearly, in trading profunds one doubles the ndx beta (as it is 2x ndx) so the risk-adjusted returns would have to be lowered but fundamentally that's no different than trading ndx vs spx (my spreadsheet analysis shows that in the 2000-2003 period the ndx daily change was 2.2 larger than the spx daily change on average, based on days where both indices went in the same direction and had non-zero changes which happened in about 500 out 800 trading days)

george

exp system (#board-1623)

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