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Strategies & Market Trends : Gorilla and King Portfolio Candidates -- Ignore unavailable to you. Want to Upgrade?

To: JAPG who wrote (47144)	9/26/2001 5:57:04 AM
From: Wyätt Gwyön	Read Replies (1) \| Respond to of 54805

hi JAPG, re: a timing approach for switching between cash and equities (Gorillas or otherwise), there is an interesting book called "Puzzles of Finance" that examines such a strategy from a mathematical perspective. basically, he argues that it would be extremely difficult to add enough value with such an approach that its risk-weighted return would exceed that of having a constant ratio of cash to equity. the argument depends heavily on the Sharpe ratio, which is the excess return over T-bills divided by the standard deviation. i forget all the details (read it at the bookstore), but it is probably worth checking out if one were considering such an approach. amazon.com