Abstract: The standard deviation, arguably the most widely-used measure of risk, suffers from the limitation that the number itself offers little insight. To resolve the problem, gain-loss spread is introduced to measure the risk of Chinese stock market. The results show that gain-loss spread is more correlated to mean returns than both the standard deviation and beta, thus providing a tighter link between risk and return. Furthermore, gain-loss spread is able to discriminate between high return and low return portfolios better than both the standard deviation and beta, being a useful tool for portfolio selection.