Ulcer Index


Function Name: ulcer_index

Tags: None

Category: Volatility

The Ulcer Index (UI) is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return (SD). It is a measure of the depth and duration of drawdowns in prices from earlier highs.

Using UI instead of SD can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.).

The Ulcer Index, developed in 1987, has been widely recognized by the investment community.


Author:   Peter Martin, Byron McCann

Publication: "The Investor's Guide to Fidelity Funds: Winning Strategies for Mutual Fund Investors" (Peter Martin & Byron McCann, John Wiley & Sons, 1989.)

Links:     http://www.tangotools.com/ui/igff.htm, http://en.wikipedia.org/wiki/Ulcer_Index





Default Value: 20  |  Minimum: 1  |  Maximum: 9999


Type: Numeric



Default Value: 5  |  Minimum: 0  |  Maximum: 100


Type: Numeric