Flirting with Models

The Research Library of Newfound Research

Tag: Ulcer index

Drawdowns and Portfolio Longevity

We find that a long or prolonged drawdowns early in an investor’s retirement can dramatically increase the probability of failure.

Measuring the Benefit of Diversification

A systematic approach for evaluating diversification leads to actionable, unbiased results based on a portfolio's objectives.

Are markets getting faster?

Looking into the Ulcer Index

Unlike volatility and max drawdown, the Ulcer index combines both the length and severity of drawdowns into one convenient metric.

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