BacktestFolio · Glossary
Ulcer Index
In plain language
Unlike maximum drawdown which only counts the single worst moment, the Ulcer Index measures total suffering during downturns — including both how far you fall and how long you stay below the peak. The lower it is, the less psychological stress along the investment journey.
Technical definition
Risk index combining the depth and duration of drawdowns into a single value: square root of the mean of squared percentage drawdowns. Low values indicate a smoother path with faster recoveries.