Ulcer Index — the root-mean-square percentage drawdown from the window's
running high.
Standard deviation treats an upside surprise as risk; this only counts the
distance below the recent peak, and squaring before averaging makes one deep
drawdown weigh more than several shallow ones. The reading is therefore a
measure of how uncomfortable holding the instrument was, not of how much it
moved, and it is 0 on any series that only rises.
Ulcer Index — the root-mean-square percentage drawdown from the window's running high.
Standard deviation treats an upside surprise as risk; this only counts the distance below the recent peak, and squaring before averaging makes one deep drawdown weigh more than several shallow ones. The reading is therefore a measure of how uncomfortable holding the instrument was, not of how much it moved, and it is 0 on any series that only rises.