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Instructions on how to create an Ulcer Index function in Excel
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Ulcer Index Custom Function in Excel Visual Basic
Excel 2010 User Defined Function
If you are looking to find the Ulcer index of a return stream, best described here, then follow the
steps below:
● Hit ALT + F11 to access the VBA editor
● Insert>New Module
● Copy and paste the code below into the module:
Function UlcerIndex(MyArray As Range)
'Copyright Mark Reichert 2011 [email protected]
Dim CurValue As Double
Dim MaxValue As Double
Dim MyCell As Range
Dim CurDD As Double
Dim MaxDD As Double
Dim CurDD_Sqrd As Double
Dim SumOfSqrs As Double
Dim NumOfDataPnts As Integer
MaxValue = 0
MaxDD = 0
CurValue = 1000
CurDD = 0
SumOfSqrs = 0
NumOfDataPnts = MyArray.Rows.Count
For Each MyCell In MyArray
CurValue = CurValue * (1 + MyCell)
If CurValue > MaxValue Then
MaxValue = CurValue
Else
CurDD = (CurValue / MaxValue - 1)
If CurDD < MaxDD Then
MaxDD = CurDD
End If
End If
CurDD_Sqrd = CurDD ̂2
SumOfSqrs = SumOfSqrs + CurDD_Sqrd
Next MyCell
UlcerIndex = (SumOfSqrs / NumOfDataPnts) ̂0.5
End Function
End Function
● Hit Save, then ALT + F11 to get back to Excel
● In any excel cell type “=UlcerIndex(“ and select the % returns you would like to calculate
the Ulcer Index for.
