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Ulcer Index's linear cousin. Measures the average underwater distance.
Pain Index is the average magnitude of drawdown over a window — calculated as the mean of absolute drawdowns at every observation. Unlike Ulcer Index (which squares drawdowns), Pain Index uses linear absolute values, so it penalizes shallow-but-sustained drawdowns more proportionately than deep-but-brief ones.
Pain Index = (1/n) · Σ |DDᵢ|Pain Index = (1/n) · Σi=1..n |DDi|Equivalent to the average distance below the running peak across the entire window. A portfolio that spent 100% of the time at a peak has Pain Index 0; one that spent the entire window at exactly −10% has Pain Index 10%.
Pain Index captures the simple intuitive measure: "on average, how far below my peak was I?" A portfolio with one brief −40% drawdown and otherwise at peaks has small Pain Index but large Max DD. A portfolio that lingered at −15% for years has moderate Pain Index but smaller Max DD.
For investors who care about the full underwater experience and not just the worst moment, Pain Index is more honest than Max DD.
Drawdowns over 12 months: 0%, 0%, −3%, −8%, −12%, −10%, −7%, −5%, −2%, 0%, 0%, −4%.
Absolute values: 0, 0, 3, 8, 12, 10, 7, 5, 2, 0, 0, 4. Sum = 51. Mean = 4.25%.
That is your Pain Index — on average across the year, your portfolio was 4.25% below its running peak.
Pain Index is in the same percentage units as Ulcer Index but usually slightly lower (linear vs. quadratic averaging). For the S&P 500 long-run, Pain Index averages around 3–5%.
Upload a brokerage CSV (IBKR, Schwab, Fidelity, Robinhood, Coinbase, Kraken, Binance…) and get your Pain Index computed on your real holdings — alongside 70+ other portfolio metrics. No signup, runs in your browser.
Open the Pain Index Calculator →Pain Index uses absolute drawdowns; Ulcer Index uses squared. Pain Index is linear in depth; Ulcer Index is quadratic — penalizing deep drawdowns more.
Excess return divided by Pain Index. Conceptually similar to Martin Ratio but with linear pain weighting.
When you care equally about all underwater time, regardless of depth. For investors who weight deep drawdowns more, Ulcer Index is the better choice.
Yes — alongside Ulcer Index and Max DD in the drawdown section.
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