Last updated:
Peter Martin's measure of how much it actually hurt to hold this portfolio.
Ulcer Index is Peter Martin's drawdown-based volatility measure: the root-mean-square of percentage drawdowns from running maximums over a window. Unlike maximum drawdown (which captures only the worst), Ulcer Index captures the duration and severity of all drawdowns. The name reflects its purpose: how much stomach lining did this portfolio cost you?
UI = sqrt((1/n) · Σ DDᵢ²)UI = sqrt((1/n) · Σi=1..n DDi2)At every point in time, you record how far below the running peak you are. Square those values, average them, take the square root. The result captures both how deep drawdowns went and how long the portfolio spent in them.
Max drawdown measures the worst moment. Ulcer Index measures the entire experience. A portfolio that hit one −30% drawdown and recovered quickly has a similar max DD to one that spent years bouncing between −5% and −20%. The first has lower Ulcer Index; the second is psychologically much harder.
Ulcer Index is the denominator of the Martin Ratio — the cleanest single-number drawdown-aware risk-adjusted return measure.
Drawdowns over 12 months: 0%, 0%, −3%, −8%, −12%, −10%, −7%, −5%, −2%, 0%, 0%, −4%.
Squared: 0, 0, 9, 64, 144, 100, 49, 25, 4, 0, 0, 16. Sum = 411. Mean = 34.25. sqrt = 5.85%.
That is your Ulcer Index. The S&P 500's long-run Ulcer Index over rolling 5-year windows averages around 4–6%; during 2007–2009 it spiked above 20%.
Lower is better. Asset-class guidelines:
| Asset | Typical Ulcer Index |
|---|---|
| Cash / T-bills | ~0% |
| 60/40 balanced | 3–6% |
| S&P 500 (long-run) | 4–7% |
| S&P 500 through GFC | 20%+ |
| Concentrated equity | 10–25% |
| Crypto majors | 30–50% |
Upload a brokerage CSV (IBKR, Schwab, Fidelity, Robinhood, Coinbase, Kraken, Binance…) and get your Ulcer Index computed on your real holdings — alongside 70+ other portfolio metrics. No signup, runs in your browser.
Open the Max Drawdown Analyzer →Standard deviation measures variance around the mean. Ulcer Index measures only downward deviations from running peaks — the actually-painful kind.
Same concept but uses absolute drawdown rather than squared. Linear penalty for depth instead of quadratic. See Pain Index.
Peter Martin coined the name in 1987 because the metric captures the actual stress experienced by investors — proportional to the literal physical toll on your body.
Yes — alongside Max DD, CDaR, and Pain Index in the drawdown section.
Upload your brokerage CSV — Foliolytic computes Ulcer Index plus 70+ other metrics using real historical prices, real Treasury yields, and real CPI data. Free, no signup, your data stays in your browser.
Analyze your portfolio free →