They called their index the «
Ulcer Index», a very apt name.
There is also a variation of
the Ulcer Index called the Ulcer Performance Index which is a great measure of Risk Adjusted Return.
When you see
the Ulcer index rising above a critical level, exit into cash and remain in cash until you see Ulcer Index dropped back into a safe territory.
The DWDP
Ulcer Index is volatility indicator developed to measure downside risk, By technical analysis, the higher
Ulcer Index value is, the bigger drawdown risk should be expected and the longer it will take for the DWDP stock to recover to the earlier highs.
Just scroll charts back in the history to the last stock market crash and check
Ulcer index values during that crash.
Ulcer Index volatility calculator to asses the rist of down - turbn and for technical analysis of EI DU PONT DE NEMOURS (DWDP) on our stock charts...
Ulcer Index is not a magic indicator which predicts a crash.
Ulcer index reveals the periods when probability of crash is high.
Next time, when you see
Ulcer Index rising to the similar levels, consider it as a recommendation to exit the market.
Ulcer index is a long - term technical indicator.
Below you may see
Ulcer index chart covering the end of 200-2003 Bear market and 2008 crash.
(More detailed descriptions can be found at
Ulcer Index and A Look at Risk Adjusted Returns.)
Also the lower
Ulcer Index.
These can include Sharpe Ratio, % winning trades,
Ulcer Index and many more.
Intrepid Endurance, a slightly more - flexible version of Mr. Cinnamond's fund, finished first on every meaningful measure of risk - adjusted performance: highest Sharpe ratio, highest Sortino ratio, highest Martin ratio, lower
Ulcer Index, lowest maximum drawdown, shortest recovery period... and it returned a respectable 8.2 % per year, well ahead of its peers.
Based on comparisons of absolute return and
Ulcer Index, bonds returned more than 70 % of the gain with just 10 % of the pain.
Finally, Martin, which uses same numerator as Sharpe and Sortino, excess return relative to TBill, but it uses
the Ulcer Index (UI) for the denominator, which is the square root of the mean of the squared percentage draw downs in value.
During bull markets, stock funds too can have a low
Ulcer Index, but when the bull turns, watch out.
A fund with high
Ulcer Index means it has experienced deep or extended declines, or both.
Ulcer Index for money market funds is typically zero.
Metrics like recovery time and
Ulcer Index should help guide those explorations.
In fact, every top performer in this modest asset allocation class suffered losses of more than 20 % in 2008, except VWINX, which has highest Sharpe, Sortino, and Martin ratios, as well as lowest downside deviation and
Ulcer Index.
We track short - term pain by looking at a fund's maximum drawdown,
its Ulcer index which measures the depth and duration of a drawdown, its standard deviation and downside deviation.
Our friend Peter Matin formulated
the Ulcer Index as described in An Alternative Approach to the Measurement of Investment Risk & Risk - Adjusted Performance.
Martin is a risk adjusted return metric that is the ratio between excess return, which is the compounded annualized total return above risk free T - Bill return, divided by the so - called
Ulcer Index, which is a measure of extent and duration of drawdown.
Here is the formula used: Sortino is same as Sharpe except its denominator is the annualized downside deviation, which only uses monthly returns falling below TBill average, as shown here: Finally, Martin, which uses same numerator as Sharpe and Sortino, excess return relative to TBill, but it uses
the Ulcer Index (UI) for the denominator, which is the square root of the mean of the squared percentage draw downs in value.
For those casting about for tummy - calming options, we screened for funds that had been around for a full market cycle, then looked at funds which have the shortest recovery times and, separately, the lowest
Ulcer Indexes over the current market cycle.
I screened for the funds that had the lowest maximum drawdowns and
Ulcer Indexes in both crashes.
Lowest Ulcer Moderate Allocation Funds generates a list of Mixed Asset Moderate Allocation funds that have incurred the lowest
Ulcer Indices in their respective categories.
Not exact matches
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With same database of oldest share class fund performance from Funds That Beat The Market, I ranked funds by Sharpe, Sortino, and Martin (or so - called
Ulcer Performance)
indices then compared against relative APR rankings.
The key rating metric in our system is Martin ratio, which measures excess return divided by the drawdown (a / k / a
Ulcer)
index.