What is the Ulcer Index?
The Ulcer Index is a volatility measure that focuses on drawdowns—how much each value falls below its running high. For each period, you compute the percentage drawdown from the historical high so far; then you square those drawdowns, take the average, and take the square root. The result is the Ulcer Index: a single number that reflects the depth and duration of drawdowns. Lower values mean the series stays closer to its highs; higher values mean larger or longer drawdowns.
How to Use This Ulcer Index Calculator
- 1
Enter your NAV series
Paste or type your net asset values (e.g. daily portfolio equity or fund NAV), one number per line, in chronological order (oldest first).
- 2
Get the Ulcer Index
The calculator computes each period’s percentage drawdown from the running high, then the square root of the average of squared drawdowns. You also see max and average drawdown.
- 3
Interpret the result
A lower Ulcer Index means less drawdown volatility; a higher one means more time or depth below peaks. Use it to compare strategies or assets by downside risk.
Why Use the Ulcer Index?
Unlike standard deviation, the Ulcer Index only penalizes declines from the high—it ignores upside volatility. That makes it useful for assessing downside risk and “ulcer”-inducing drawdowns. It is often used alongside other metrics (e.g. Sharpe, Sortino) to evaluate fund or strategy performance and to compare managers or systems on drawdown behavior.
Ulcer Index vs. Max Drawdown
Max drawdown is the single largest peak-to-trough decline. The Ulcer Index incorporates all drawdowns and their magnitude, so a strategy with one sharp dip can have a high max drawdown but a moderate Ulcer Index if other periods are flat, while a strategy with many small drawdowns can have a lower max drawdown but a higher Ulcer Index. Both metrics are complementary for risk assessment.