The statistical indicators for the evaluation of the efficiency of a financial instrument are almost all based on the ratio between mean and variance or are, in any case, linked to the assumption that distribution of returns is normal. In most cases, the effective time-based sequence of the returns (hypothesis of independence) is not taken into consideration. In this work, after recalling the limits of the mean/variance approach for the purposes of fund selection, a new indicator is proposed to measure the risk-adjusted performance. The DIAMAN ratio considers the sequence of returns and is based on a definition of risk that is consistent with some well-established results from behavioral finance. The DIAMAN ratio can be interpreted as an indicator of the persistence of returns: it analyzes the strength of the trend (expected return) and the ability of the financial instrument to move around its own trend (risk).