PT - JOURNAL ARTICLE AU - William T. Ziemba TI - The Symmetric Downside-Risk Sharpe Ratio AID - 10.3905/jpm.2005.599515 DP - 2005 Oct 31 TA - The Journal of Portfolio Management PG - 108--122 VI - 32 IP - 1 4099 - https://pm-research.com/content/32/1/108.short 4100 - https://pm-research.com/content/32/1/108.full AB - 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.