Tool Request - Ulcer Performance Index
Since you already calculate the Sharpe Ratio and Ulcer Index it should be easy to add the Ulcer Performance Index which is simply the Sharpe Ratio with the denominator = ulcer index rather than standard deviation. It may be the most useful ratio of all.
Thanks for considering this.
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Thank you for your suggestion. The Ulcer Performance Index calculation does seem straightforward, so we can certainly explore it further and potentially include it in future releases.
Could you share why you think it would be the most useful performance measure? I'm not familiar with it, but would love to learn more.
2y ago
Thanks! I will try to post a summary but in the interest of responding quickly, these articles summarize its utility well.
"An alternative way to look at risk in TAA strategies" on investingforaliving.us
The creator of both the Ulcer Index and the Ulcer Performance Index, Peter Martin discusses them on the page "Ulcer Index" on the tangotools.com website