Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. A portfolio with a higher Sharpe ratio is considered superior relative to its peers.

The Sharpe ratio is a ratio of return versus risk. The formula is:

Sharpe Ratio = (Total return - Risk-free return) / SD

Total Return = the expected return on the investor's portfolio
The risk-free* rate of return SD = the portfolio's standard deviation, a measure of risk

* Note that "sharpe ratio" is considering the volatility type of risk, ignoring that treasury notes are not really risk-free but involving other types of risks (inflation, interest rate risk, opportunity costs, etc)

Ulcer index is designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period.

Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement.

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