TY - JOUR
T1 - The Symmetric Downside-Risk Sharpe Ratio
JF - The Journal of Portfolio Management
SP - 108
LP - 122
DO - 10.3905/jpm.2005.599515
VL - 32
IS - 1
AU - Ziemba, William T.
Y1 - 2005/10/31
UR - http://jpm.pm-research.com/content/32/1/108.abstract
N2 - 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.
ER -