In 1996, the quant trader Lars Kestner published a book introducting the K Ratio as a complement to the Sharpe Ratio. In 2003, he modified the K Ratio and published a revised version of his book to explain why. Thomas Becker of Zephyr Associates thinks he was right the first time. Read the article: http://www.automatedtrader.net/Q4_digital_2011/#/0. A subscription is required to view the full digital edition.