The pain index is the mean value of the drawdowns over
the entire analysis period. The measure is similar to the
Ulcer index except that the drawdowns are not squared.
Also, it's different than the average drawdown, in that
the numerator is the total number of observations rather
than the number of drawdowns.
Usage
PainIndex(R, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
...
any other passthru parameters
Details
Visually, the pain index is the area of the region that
is enclosed by the horizontal line at zero percent and
the drawdown line in the Drawdown chart.
$$Pain index = \sum^{n}_{i=1} \frac{\mid D'_i
\mid}{n}$$
where $n$ is the number of observations of the entire
series, $D'_i$ is the drawdown since previous peak in
period i
References
Carl Bacon, Practical portfolio performance
measurement and attribution, second edition 2008 p.89,
Becker, Thomas (2006) Zephyr Associates