% Generated by roxygen2: do not edit by hand

% Please edit documentation in R/UlcerIndex.R

\name{UlcerIndex}

\alias{UlcerIndex}

\title{calculate the Ulcer Index}

\usage{

UlcerIndex(R, ...)

}

\arguments{

\item{R}{a vector, matrix, data frame, timeSeries or zoo object of asset

returns}

\item{\dots}{any other passthru parameters}

}

\description{

Developed by Peter G. Martin in 1987 (Martin and McCann, 1987) and named

for the worry caused to the portfolio manager or investor. This is

similar to drawdown deviation except that the impact of the duration of

drawdowns is incorporated by selecting the negative return for each

period below the previous peak or high water mark. The impact of long,

deep drawdowns will have significant impact because the underperformance

since the last peak is squared.

}

\details{

UI = sqrt(sum[i=1,2,...,n](D'_i^2/n)) where

D'_i = drawdown since previous peak in period i

DETAILS:

This approach is sensitive to the frequency of the time periods involved

and penalizes managers that take time to recover to previous highs.

REFERENCES:

Martin, P. and McCann, B. (1989) The investor's Guide to Fidelity Funds:

Winning Strategies for Mutual Fund Investors. John Wiley & Sons, Inc.

Peter Martin's web page on UI: https://www.tangotools.com/ui/ui.htm

## Test against spreadsheet at:

https://www.tangotools.com/ui/UlcerIndex.xls

}

\author{

Matthieu Lestel

}