What are capture ratios?
NGEN Markets Admin
Last Update 2 years ago
We show up-capture and down-capture ratios in all analytics pages on the Performance tab. This is a relative statistic which is calculated from a particular return series (fund, stock, portfolio etc) versus a given benchmark.
The up-capture ratio shows how the fund (or portfolio) did during periods when the benchmark was up (this is when the benchmark had up months). This shows whether the fund (or portfolio) gained more (i.e. > 100 up-capture ratio) during benchmark up-months.
The down-capture ratio shows how the fund (or portfolio) did during periods when the benchmark was down (this is when the benchmark had down months). This shows whether the fund (or portfolio) lost less (i.e. < 100 down-capture ratio) during benchmark down months.
A little 'i' button next to both capture ratios will also show you the individual up or down months for the benchmark with the security's return next to it. See below for an example:
