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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: Patrick Slevin who wrote (7194)	10/25/1998 11:06:00 PM
From: Stoctrash	Respond to of 44573

Here is what they say: The Ulcer Index --------------- Martin & McCann's book entitled "The Investor's Guide to Fidelity Mutual Funds" originated the Ulcer Index. Call 1-800- 423-4893 if you wish to order a copy of this excellent book on Technical Analysis. Standard deviation is increased by both gains and losses in portfolio value, yet a real investor is only disconcerted by the downside. Rapid increases in price create profits, not risk. Standard deviation also does not distinguish between randomly occurring gains and losses and very long sequences of losses. Clearly a risk measure is highly desirable that addresses these deficiencies. The Ulcer Index is obtained as follows: Every day, determine the % amount 'R' that a fund is below its highest previous value. Calculate a running total of R-squared. Then divide this product by N, the total number of days in the period and take the square root of the quotient to obtain UI. The lower the Ulcer Index the easier an investment will be to live with and the less troubling will be the down days. 2 ( The Sum of all R values ) UI = Square Root ( ----------------------- ) ( N ) The Ulcer Performance Index --------------------------- The Ulcer Performance Indexis a very good measure of the Risk Adjusted return of an investment. It is described on Pg. 82 of the Martin/McCann book. It measures how well the investment outperformed a MMF compared with the amount of Ulcers it produced. The higher the value the better the investment. (ANN - 5.4) where 5.4% is the ANN of UPI = ----------- Fidelity's FGRXX MMF for UI the period since 9/1/88