Ulcer Performance Index

v1.0.0

Compute the Ulcer Performance Index of one or several portfolio(s).

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution

Input

{
  "type": "object",
  "required": [
    "portfolios",
    "riskFreeRate"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioValues"
        ],
        "properties": {
          "portfolioValues": {
            "type": "array",
            "description": "portfolioValues[t] is the value of the portfolio at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    },
    "riskFreeRate": {
      "type": "number",
      "description": "The risk free rate"
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioUlcerPerformanceIndex"
        ],
        "properties": {
          "portfolioUlcerPerformanceIndex": {
            "type": "number",
            "description": "The Ulcer Performance Index of the portfolio"
          }
        }
      }
    }
  }
}