Is there a better pain metric than the UI?Two cents' worth--UI is a good risk metric, but a few things are important to remember.- It's most meaningful only over long time periods, so that the data havea chance to reveal the frequency and magnitude of cyclical ups and downs.In this decade-long test, it's maybe still not quite long enough to be a really solid number.UI is great for estimating the 50-year risk of holding the S&P.- It's meaningful for an entire portfolio, but less so in evaluatingindividual components of a portfolio. Not a problem in this test.- UI intrinsically allows for the idea that there is meaning in theorder of monthly returns. This is probably partly true, in that manykinds of things have winning an losing streaks, or cyclical advantages.But, a good companion to this would be a metric which does not placevery much weight on ordering.I like rolling-two-month downside deviations, a metric which ignores ordering on a scale longer than two months. But, of course, it won'tgive you any information about larger scale phenomena, such as beinga continuous loser in a long bear market. So, I look at rolling-yearstatistics as well.All that being said, you're right, the low UI is quite impressive.Jim
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