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.
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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.
Not just the worst fall, but the average pain
The maximum drawdown shows the worst moment but ignores all the rest of the suffering. A portfolio may have had a single ugly fall and recovered quickly, while another spent years dragging below its peak without ever falling as deep. For the investor who lived through each day of it, the second may have been worse. The pain index captures that accumulated pain.
The idea is to measure, at each point in the series, how far the portfolio was below its prior peak, and average all of it. The result is the average depth underwater: how much, on average, the investor was in the red relative to the best moment seen so far. It's a cousin of the ulcer index, which does the same but squares the drawdowns before taking the root, punishing big falls more.
Enter the series of values separated by commas, in chronological order. The tool returns the pain index as a percentage. On its own it says little; its value shows when comparing strategies or using it as the denominator of a return-per-pain ratio, like the pain ratio.
Related Tools
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.
Maximum Drawdown from Series
Computes the maximum drawdown of a series of values or prices: the largest percentage fall from a peak to the following trough across the whole history. It's the most intuitive measure of a strategy's risk — how much, at the worst moment, the investor would have seen their capital shrink from the top. Unlike the two-point version, this one scans the entire series and finds the worst stretch automatically. Enter the series of values separated by commas.
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.
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.