Martin Ratio (UPI)
Computes the Martin ratio, also called the Ulcer Performance Index (UPI): the excess return over the risk-free rate divided by the ulcer index. The ulcer index is the root mean square of drawdowns, a measure of how deep and how long the portfolio stays below its peaks. The Martin ratio thus rewards the return earned per unit of that tail pain. Enter the portfolio return, the risk-free rate and the ulcer index, all in percent.
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Martin Ratio (UPI)
Computes the Martin ratio, also called the Ulcer Performance Index (UPI): the excess return over the risk-free rate divided by the ulcer index. The ulcer index is the root mean square of drawdowns, a measure of how deep and how long the portfolio stays below its peaks. The Martin ratio thus rewards the return earned per unit of that tail pain. Enter the portfolio return, the risk-free rate and the ulcer index, all in percent.
Return measured by the ulcer it caused
The Martin ratio, also called the Ulcer Performance Index, has one of the most honest names in finance. It measures return per unit of ulcer, that is, per unit of the prolonged discomfort of watching the portfolio stuck below its peak. The denominator is the ulcer index, which captures not just the depth of the falls but how long they last.
The ulcer index is the root mean square of drawdowns over time. Unlike a single drawdown, it punishes both falling deep and staying in the red a long time, because it sums the suffering of each period below the top. The Martin ratio then divides the excess return by this measure, rewarding strategies that rise with few and short setbacks.
Enter the portfolio return, the risk-free rate and the ulcer index, all in percent. The tool returns the Martin ratio. Since the ulcer index is the central ingredient, compute it beforehand from your value series, and always use the same measurement period when comparing the ratio across different investments.
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Sterling Ratio
Computes the Sterling ratio, a drawdown-adjusted performance measure. It divides return by a measure of how much the portfolio typically falls from peak to trough, rewarding strategies that deliver return without big drops. The tool shows two versions: the modern one, using excess return over the risk-free rate divided by the average drawdown, and the original Deane Sterling Jones form, which adds a ten percent constant to the denominator. Enter the annualized return, the risk-free rate and the average annual maximum drawdown.
Burke Ratio
Computes the Burke ratio: the excess return over the risk-free rate divided by the square root of the sum of squared drawdowns. Unlike the Sharpe ratio, which penalizes all volatility, Burke focuses only on the falls, and by squaring each drawdown it punishes deep falls more than shallow ones. It's one of the tail-risk-adjusted performance metrics. Enter the portfolio return, the risk-free rate and the list of drawdowns in percent.
Pain Index
Computes the pain index of a series: the average depth underwater, that is, the mean of all point-by-point drawdowns across the history. While the maximum drawdown looks only at the worst moment, the pain index measures the average suffering — how long and how deep the portfolio stayed below its peaks. It's a cousin of the ulcer index, which uses the root mean square instead of the simple average. Enter the series of values separated by commas.
Appraisal Ratio (Treynor-Black)
Computes the Treynor-Black appraisal ratio: a manager's alpha divided by the standard deviation of residual risk, the part not explained by the market. It measures the quality of security selection per unit of specific risk taken, and is the central metric for deciding how much to allocate to an active strategy. The higher it is, the better the manager extracts abnormal return without taking on too much diversifiable risk. Enter the alpha and the residual standard deviation.
Down Capture Ratio
Computes a portfolio's down capture ratio: how much it fell alongside the benchmark during periods when the index dropped, by the geometric compounded method. Here, less is better — a value below one hundred percent means the portfolio lost less than the market in declines, a sign of good protection. A negative value means the portfolio rose while the market fell. Together with up capture, it describes the manager's asymmetric profile. Enter the lists of portfolio and benchmark returns.
Tail Ratio
Computes the tail ratio of a return series: the absolute value of the 95th percentile divided by that of the 5th percentile. It compares the size of extreme gains with extreme losses — a tail ratio above one means the right tail (gains) is larger than the left (losses), a desirable asymmetric profile. Below one, extreme losses dominate. It's a quick snapshot of the asymmetry at the ends of the distribution. Enter the list of returns separated by commas.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.