[Off Duty]

With all due respect, I believe you lack a fundamental understanding of the Sharpe ratio and it's application. Further, I think you're trying to project something on the Sharpe ratio that isn't there. You're suggesting that the Sharpe ratio vindicates playing a particular style, which is patently false.

While the super nit will have low variance and a low expectation, somebody who plays correctly will likely have a slightly higher variance and a much higher expectation. A maniac may have the highest variance and no higher expectation than somebody who plays correctly.

Or, another way - increasing your standard deviation without a corresponding increase in your win rate is lunacy. Further, decreasing your standard deviation in a way that causes a greater decrease in your win rate is just as dumb.

The Sharpe ratios of many bond funds and many penny stocks are about the same. It's pretty easy to go busto with penny stocks (high standard deviation, high return) and tough to get rich with bond funds (low standard deviation and low returns). There are lots of spots in the middle that yeald better with a reasonable standard deviation, thus higher Sharpe ratios.