Legendary Market Wizard
Houston, TX
Trading Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
Posts: 3,038 since Dec 2013
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Van Tharpe specifically  i do not.
With regards to Sharpe Ratio/Downside Volatility there's been lots of research, much that looks at the greater moments of the underlying distribution. Lots of work showing that given equal mean and standard deviation you would want the highest skew. The Omega Ratio is extremely interesting. Unfortunately, it and many other alternatives are not as easy as the Sharpe Ratio. With Omega you have to defined a desired rate of return*. Different rates yield different returns so its very "desired rate" dependent.
*Omega Ratio with desired return set to zero is the same as Sortino.
