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>your commodity basket sounds excellent - would you have some
>performance stats for it to share with me ?
It used a Markowitz optimization and a "basket" of 3 commodities increased the Sharpe Ratio by close to the theoretical SQRT(3).
A basket of 15 commodities increased it further but not by the theoretical SQRT(15).
Sharpe
1 commodity (JY) 0.94
3 commodities 1.76
15 commodities 2.20
It was a very simple daily system backtested over 13 years with holding periods of months.
I was working with another trader so am not at liberty to disclose too many details.
Bob
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