Since first writing about the S-ratio in the paper "Skewing Your Diversification", we have received a number of questions on this ratio. Many have agreed that its an interesting way to look at volatility and skewness simultaneously. Very soon, we will be writing more on this topic to give a better understanding about the ratio. In the meantime, you can read about this ratio in the paper "Skewing Your Diversification".
Unlike Modern Portfolio Theory that assumes normal distribution. This ratio does not make that assumption.