Ulcer Index Screener
Stocks ranked by drawdown severity (lower is better)
Measures the depth and duration of drawdowns from previous highs. Unlike max drawdown which only captures the single worst decline, the Ulcer Index considers all drawdowns over the period. Lower is better; below 10 is low-risk, above 30 indicates significant drawdown exposure.
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What Is the Ulcer Index?
The Ulcer Index was created by Peter Martin in 1987 and measures the depth and duration of percentage drawdowns from previous highs. It's named for the stomach-churning anxiety that investors feel during sustained declines — the "ulcer" that comes from watching your portfolio sink further day after day.
Formula: Ulcer Index = sqrt(mean of squared percentage drawdowns from peak)
Unlike maximum drawdown which only captures the single worst decline, the Ulcer Index considers every drawdown over the entire period. A stock that frequently drops 5% from its highs will have a higher Ulcer Index than one that dropped 10% once but otherwise stayed near its highs.
How to Interpret It
Lower is better (unlike the other ratio screeners where higher is better). An Ulcer Index below 5 indicates a very stable stock. Between 5-10 is low risk. Between 10-20 is moderate. Above 20-30 indicates significant and sustained drawdown exposure. The Ulcer Index is particularly meaningful for retirees or conservative investors who can't afford to wait out prolonged declines.
Why It Matters More Than Volatility
Standard volatility measures (like those in the Sharpe ratio) treat a 5% gain and a 5% loss identically. The Ulcer Index only measures downward moves from highs, which is what actually causes investor stress. It also weights deeper, longer drawdowns more heavily through the squaring operation — a 20% decline for 3 months contributes far more than a 5% dip for a week.
Related: The Martin Ratio
The Martin ratio (also called the Ulcer Performance Index) divides annualized return by the Ulcer Index, giving you a return-per-unit-of-drawdown-pain metric. Learn more in our financial glossary.