The Sharpe Ratio Stinks: Then What?

Beyond the Sharpe Ratio: Alternative Measures of Risk-Adjusted Performance

First of all, a bit of nuance: nothing is wrong per se with the Sharpe ratio.

Long story short, the Sharpe ratio is neither good nor bad. It is a tool that 1) provides some useful information, but 2) does not tell the entire story.

It needs to be used with discernment and for the correct purpose, just like I wouldn’t use a knife to eat a yogurt. It doesn’t mean that the knife is bad.

Find the slides here: https://www.linkedin.com/posts/quantlandi_alternative-measures-of-risk-adjusted-performance-activity-7313090716946063360-CrVj

In this follow-up deck, I cover two practical alternatives that address some of what Sharpe gets wrong:

📉 Sortino Ratio — Ignores upside noise and focuses only on harmful downside deviation
📉 Calmar Ratio — Captures worst-case capital loss with maximum drawdown
🛠️ Includes example calculations, Python code, and real-world use cases
🧠 Guidance on when to use each — and why they matter

Sharpe penalizes all volatility equally. These metrics don’t. They measure risk the way investors actually experience it.

Find the slides here: https://www.linkedin.com/posts/quantlandi_alternative-measures-of-risk-adjusted-performance-activity-7313090716946063360-CrVj