v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Analysis / Drawdowns

Ulcer Performance Index

Compute the Ulcer Performance Index of a portfolio.

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution
Peter G. Martin, Ulcer Index, An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance

post/portfolios/analysis/drawdowns/ulcer-performance-index

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riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage; exclusive with benchmarkReturns

benchmarkReturnsnumber[]

benchmarkReturns[t] is the arithmetic return of the benchmark at the time t; the benchmarkReturns array must have the same length as all the portfolioReturns arrays or the same length minus 1 as all the portfolioValues arrays; exclusive with riskFreeReturn

v2

Ulcer Performance Index

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