Advanced Ulcer Index Calculator

Calculator Inputs

Enter either a price or NAV series, or periodic returns in percent. Separate values with commas, spaces, or new lines.

Portfolio Name

Benchmark Name

Input Mode

Initial Investment

Periods per Year

Risk-Free Rate (%)

Rolling Window

Decimal Precision

Portfolio Series

Benchmark Series (Optional)

Example Data Table

This sample illustrates how drawdowns are measured from each running peak.

Period	Portfolio Value	Running Peak	Drawdown %
P0	100,000	100,000	0.00
P1	104,000	104,000	0.00
P2	101,000	104,000	2.88
P3	107,500	107,500	0.00
P4	102,000	107,500	5.12
P5	109,000	109,000	0.00

Formula Used

1) Running Peak
Peak_t = max(Value₁ ... Value_t)

2) Period Drawdown
Drawdown_t = max(0, ((Peak_t - Value_t) / Peak_t) × 100)

3) Ulcer Index
Ulcer Index = √[(Σ Drawdown_t²) / n]

4) Annualized Return
Annualized Return = ((Ending Value / Starting Value)^{Periods per Year / Period Count} - 1) × 100

5) Martin Ratio
Martin Ratio = (Annualized Return - Risk-Free Rate) / Ulcer Index

How to Use This Calculator

Select whether you are entering a price series or periodic returns.
Paste the portfolio values or returns into the main series box.
Optionally paste a benchmark using the same input mode.
Adjust periods per year, risk-free rate, rolling window, and decimal precision.
Press Calculate Ulcer Index to show results above the form.
Use the CSV and PDF buttons to export the summary and drawdown table.

Frequently Asked Questions

1. What does the Ulcer Index measure?

It measures downside pain by combining both drawdown depth and drawdown duration. A lower value suggests a smoother ride with shallower declines.

2. How is it different from standard deviation?

Standard deviation treats upside and downside swings alike. The Ulcer Index focuses only on losses from prior peaks, which many investors find more practical.

3. Can I use returns instead of prices?

Yes. Choose return mode and enter periodic returns as percentages. The calculator converts them into a value path before measuring drawdowns.

4. What is a good Ulcer Index?

There is no universal cutoff. Lower is usually better, but the meaning depends on your asset class, time period, strategy, and benchmark.

5. Why add a benchmark?

A benchmark gives context. You can compare whether your portfolio experienced more or less downside stress than a relevant market reference.

6. What does the Martin Ratio tell me?

It relates excess return to downside pain. A higher Martin Ratio suggests you earned more return for each unit of drawdown stress.

7. Why use a rolling window?

A rolling window helps you see how downside stress changes over time. It can reveal unstable periods that a single full-series figure may hide.

8. Does this replace deeper portfolio analysis?

No. It is a focused risk tool. Combine it with return, correlation, liquidity, and valuation analysis for better investment decisions.