  The gain-loss ratio is known to enjoy very good properties from a normative
point of view. As a confirmation, we show that the best market gain-loss ratio
in the presence of a random endowment is an acceptability index and we provide
its dual representation for general probability spaces. However, the gain-loss
ratio was designed for finite $\Omega$, and works best in that case. For
general $\Omega$ and in most continuous time models, the best gain-loss is
either infinite or fails to be attained. In addition, it displays an odd
behaviour due to the scale invariance property, which does not seem desirable
in this context. Such weaknesses definitely prove that the (best) gain-loss is
a poor performance measure.
