UAPIX vs' FISMX Which Fund Would You Prefer to Own

1
UAPIX vs. FISMXWhich Fund Would You Prefer to
Own?
2
RYSEX vs. NIGRXAlmost Equal Standard Deviation
Values
SD 3.76
SD 3.81
3
DrawdownA Measure of Risk
Drawdown
Drawdown
Drawdown
4
Ulcer Index (UI)A Measure of Downside Volatility
5
BRUSX vs. MASWXAbout the same UI, but a Big
Difference in UPI
SD 5.25 UI 3.38 ANN 100.02 UPI 29.28
SD 5.39 UI 3.35 ANN 52.14 UPI 15.27
6
Ulcer Performance Index (UPI)A Measure of
Risk-Adjusted Return

• Ulcer Performance Index (UPI) is a measure of
  risk-adjusted return that takes into
  consideration downside volatility, and is
  calculated as follows
• UPI (Annualized Total Return of the Fund
  Annualized Total Return of a Risk-Free
  Investment) / UI
• In FastTrack, the Risk-Free Investment used is
  the symbol set as the Low Basis for Risk Return
  calculations on the parameter page. I use VMFXX,
  but any money market fund or short-term Treasury
  bond fund is appropriate. Your choice of a
  risk-free investment standard will affect the UPI
  value that FastTrack calculates.
• The calculation for UPI for TVFQX for the 1-month
  period used in the calculation for UPI on the
  previous page is
• UPI (628.23 4.44)/1.82
• UPI 623.79/1.82
• UPI 342.74 (This value may vary slightly from
  the FastTrack value due to rounding errors)
• Funds with high UPI values have produced good
  risk-adjusted returns during the calculation
  period, but it is important to recognize that the
  period selected will dictate the types of funds
  that have the highest UPI values. Funds with the
  highest UPI values during a market uptrend will
  not necessarily be the funds that produce the
  best risk-adjusted returns during a market
  downtrend.

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Summary

• Standard deviation is a good measure of
  volatility, but does not differentiate between
  upside volatility and downside volatility.
• Ulcer Index (UI) is a measure of volatility that
  is based on drawdown (retracement). It does
  not take trend strength into consideration.
• Ulcer Performance Index (UPI) is a measure of
  risk-adjusted return that takes into
  consideration downside volatility.
• Each of these values has its use, but all must be
  used with a thorough understanding of their
  purpose. Computer generated statistical data
  cannot replace the human factor in the fund
  selection process.