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The most underused risk-adjusted ratio. Captures depth AND duration of pain.
Martin ratio is excess return divided by the Ulcer Index — a measure that captures both the depth and the duration of drawdowns. Where Calmar penalizes the single worst drawdown, Martin penalizes the entire underwater experience, weighted by how long the portfolio spent below its prior peak.
Martin = (Rp − Rf) / Ulcer IndexMartin = (Rp − Rf) / UINumerator: excess return (same as Sharpe). Denominator: Peter Martin's Ulcer Index, which captures both how deep drawdowns went and how long they lingered.
For investors who experience drawdowns as psychological pain over time (which is everyone), Martin is the most behaviorally honest ratio. Two strategies with the same Calmar but very different time-underwater profiles get very different Martin scores — and the higher Martin is the one that actually felt better to live through.
Excess return: 7.5%. Ulcer Index: 6.2%.
Martin = 7.5% / 6.2% = 1.21
Solid — above 1.0 means your return rate exceeds your average underwater pain.
Martin above 1.0 is strong; above 2.0 is exceptional. The S&P 500 typically runs around 0.4–0.6.
Ulcer Index · Calmar Ratio · Sterling Ratio · Maximum Drawdown
Calmar penalizes the single worst drawdown. Martin penalizes the entire drawdown experience — including how long it lasted.
For evaluating strategies you intend to hold through drawdowns, especially with hard liquidity needs. It is the most behaviorally honest single-number ratio.
Ulcer Index is less intuitive than max drawdown. Calmar and Sharpe are easier to explain. But Martin is mathematically more complete.
Yes — it appears in the risk-adjusted section of the metrics panel alongside Sharpe, Sortino, Calmar, and Sterling.
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