Ulcer Performance Index – Risk Adjusted Return Series – Part 2
In part 1 of this 5 part series on risk adjusted return metrics I broke down the Sharpe Ratio (click here to watch part 1)
In this part 2 I’ll introduce an even better metric, the Ulcer Performance Index which in my opinion is the best representation of how it’s actually going to feel in the real world to invest in a strategy because it only focuses on the depth and duration of drawdowns. This is what concerns long term investors the most so it’s an excellent gauge of the potential long-term viability of a strategy.
If you ever have any questions feel free to reach out: VolatilityTradingStrategies@hotmail.com
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