@article {Ziemba108, author = {William T. Ziemba}, title = {The Symmetric Downside-Risk Sharpe Ratio}, volume = {32}, number = {1}, pages = {108--122}, year = {2005}, doi = {10.3905/jpm.2005.599515}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The Sharpe ratio, a most useful measure of investment performance, has the disadvantage that it is based on mean-variance theory and thus is valid basically only for quadratic preferences or normal distributions. Hence skewed investment returns can engender misleading conclusions. This is especially true for superior investors with a number of high returns. Many of these superior investors use capital growth wagering ideas to implement their strategies, which means higher growth rates but also higher variability of wealth. A simple modification of the Sharpe ratio to assume that the upside deviation is identical to the downside risk gives more realistic results.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/32/1/108}, eprint = {https://jpm.pm-research.com/content/32/1/108.full.pdf}, journal = {The Journal of Portfolio Management} }