Upside/downside capture ratios show whether an investment outperformed (gained more or lost less than) a benchmark during periods of market strength or weakness, and if so, by how much.
Upside/Downside Capture Ratio
What is an upside/downside capture ratio?
- Upside capture ratio measures a strategy’s performance in up markets relative to an index.
- Downside capture ratio measures a strategy’s performance in down markets relative to the index.
Upside capture ratio measures a strategy’s performance in up markets relative to an index. A value over 100 indicates that an investment has outperformed the benchmark during periods of positive returns for the benchmark.
Downside capture ratio measures a strategy’s performance in down markets relative to the index. A value of less than 100 indicates that an investment has lost less than its benchmark during periods of negative returns for the benchmark.