Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the underlying investments have highly non-symmetric distributions. A number of hedge-fund strategies have asymmetric outcomes. This can be because they either explicitly use derivatives or because their return profile involves taking on some implicit short options risk.This article will briefly touch on the problems with using traditional performance evaluation methods and then will summarize the state-of-the-art in alternative performance evaluation techniques.