Ulcer Performance Index

Definition

The Ulcer Performance Index is a risk-adjusted metric that evaluates return relative to the depth and duration of drawdowns. Unlike standard deviation-based metrics, it penalizes sustained downturns more heavily.

Formula

$\text{UPI} = \frac{R_p - R_f}{\text{Ulcer Index}}$

Where:

• $R_p$ = Portfolio return
• $R_f$ = Risk-free rate
• Ulcer Index = Measure of the depth and duration of drawdowns