UPI (ulcer performance index)
Glossary · Core metrics
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Definition
Excess return divided by the Ulcer Index. Like the Sharpe Ratio, but it penalizes deep, long drawdowns instead of day-to-day volatility.
Glossary · Core metrics
Excess return divided by the Ulcer Index. Like the Sharpe Ratio, but it penalizes deep, long drawdowns instead of day-to-day volatility.