%0 Journal Article
%A Ziemba, William T.
%T The Symmetric Downside-Risk Sharpe Ratio
%D 2005
%R 10.3905/jpm.2005.599515
%J The Journal of Portfolio Management
%P 108-122
%V 32
%N 1
%X 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.
%U https://jpm.pm-research.com/content/iijpormgmt/32/1/108.full.pdf