  A simple example shows that losing all money is compatible with a very high
Sharpe ratio (as computed after losing all money). However, the only way that
the Sharpe ratio can be high while losing money is that there is a period in
which all or almost all money is lost. This note explores the best achievable
Sharpe and Sortino ratios for investors who lose money but whose one-period
returns are bounded below (or both below and above) by a known constant.
