Ulcer Index: An underutilized portfolio metric

About two years ago, I started using the Ulcer Index as another evaluation metric for portfolio backtests. I like how it captures both drawdown and drawdown length. It helps differentiate similar looking portfolios using the common metrics of Compounded Growth Rate, Share Ratio, and Maximum Drawdown. My plan was to write a blog post about it and then add it to the metrics I show on the blog. The blog Flirting With Models, found through the quant mashup Quantocracy, just made a great post on it which I highly suggest you go read: Looking into the Ulcer Index. They did a great job and saved me a post. I will show this metric on future portfolio tests.