As you probably know, the Sharpe Ratio is a measure of risk for a given investment. The higher the ratio, theoretically, the lower the risk. The Sharpe Ratio has a huge flaw. If you have an exceptionally good month or two - relative to previous months - because volatility has gone through the roof your Sharpe Ratio will decline significantly and the standard deviation between returns will increase significantly. Over the past two months I have watched a full point come off my Sharpe Ratio because I've had a terrific couple of months. The decline in this Sharpe states this investment vehicle has become more risky, not less. Interestingly enough, my drawdown over the past two months has been at it's lowest point of the year and I'm making more money with less contracts. My monthly commission rate is at an all time low and points per contract is at an all time high -- this indicates risk is low. The Sharpe states otherwise. Moral of the story: You cannot analyze the risk of an investment by using just the Sharpe Ratio. How many hedge funds with very high Sharpe Ratios have gone out of business this year? The Sharpe has it's place but the investing community puts far too much emphasis on this number.