I use the Ulcer Index rather than Sharpe Ratio or Sortino Ratio as a means of measuring the risk associated with my models. Information on the Ulcer Index is available at Peter Martin’s site. Mr. Martin is the creator of the Ulcer Index and on his site he briefly discusses what he considers to be shortcomings with other measures of investment risk.
Investing Update for the Week Ending December 20, 2024
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