Martin Ratio Screener
Stocks ranked by return per unit of drawdown pain
Also called the Ulcer Performance Index, it divides annualized return by the Ulcer Index — measuring how much return a stock generates per unit of sustained drawdown pain. Higher is better, and it's particularly useful for risk-averse investors.
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Stocks with Data
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What Is the Martin Ratio?
The Martin ratio — also known as the Ulcer Performance Index (UPI) — divides a stock's annualized return by its Ulcer Index. It measures how much return you receive per unit of sustained drawdown pain, combining the Ulcer Index's comprehensive drawdown analysis with return assessment.
Formula: Martin Ratio = Annualized Return / Ulcer Index
For example, if Stock A returns 15% annually with an Ulcer Index of 5, its Martin ratio is 3.0. Stock B returns 20% with an Ulcer Index of 15, giving a Martin ratio of 1.33. Despite higher absolute returns, Stock B delivers less return per unit of drawdown pain.
How to Interpret It
Higher is better. The Martin ratio rewards stocks that achieve high returns with minimal sustained drawdowns. A high Martin ratio means the stock trends upward smoothly without spending much time below its recent highs.
Martin vs. Calmar vs. Sharpe
The Calmar ratio uses maximum drawdown (the single worst decline), which can be dominated by one extreme event. The Martin ratio uses the Ulcer Index which considers all drawdowns over the period, weighted by depth and duration. This makes it a more stable and comprehensive measure of drawdown-adjusted returns. The Sharpe ratio, by contrast, uses volatility (not drawdowns at all), which doesn't distinguish between upside and downside moves.
Best Used By
The Martin ratio is particularly useful for risk-averse investors — retirees, income investors, or anyone who prioritizes capital preservation alongside growth. It identifies stocks that go up steadily without painful dips, which is psychologically easier to hold through market turbulence. Learn more in our financial glossary.