One of the problems with using the Sharpe ratio is that it punishes trading systems for having a high upside volatility profile. It can be argued that upside volatility is of no concern, as that means large positive monthly gains in the distribution of returns., and there is a risk measure which eliminates the upside volatility skew from the Sharpe ratio by using the volatility of negative returns only. This measure is called the Sortino ratio.
Stewart
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