EdgeWare FastBreak Standard Version 5 - Manual (Page 83)

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Now, using the slope of each equation at trading day 12 the following chart is made:
Slope at Day 12
1.00
1.01
1.02
1.03
1.04
1.05
0 2 4 6 8 10 12
Trading Days
NAV Power
Quadratic
The Linear curve fit has not changed because it is a constant value for all values of x.
The slope of the Quadratic equation has gone negative while the Power equation is still
positive but less so than the Linear fit. The general characteristic of the slope could have
been seen from the curve fits in the first figure.
FastBreak curve fits the data of each fund over the ranking period, and determines the
slope at the most recent day. The slopes are then ranked in decreasing order, much the
same as gain is ranked in a simple ranking.
Curve fits may help smooth the data, but at the same time pick up the developing trend of
the price data.
Ulcer Index
The Ulcer Index is defined in Martin & McCann’s book The Investor’s Guide to Fidelity
Mutual Funds. The Ulcer Index, UI, is a measure of risk, with a higher UI an indication
of higher risk.
UI =
(
Sum of R 2
)
1/2
N
Where:
R = The percent amount that a fund is below its highest previous value.
N = The number of market trading days over the period the UI is calculated.