Upside/Downside Capture Ratio

[swisspm]

Hello Mark, in a report is there an easy way to show the upside/downside capture ratio against an index for an entire portfolio? Many thanks.

[Mark]

Hi swisspm,

I'm not familiar with this figure. It isn't something built into the program under this name. Can you explain what you want calculated?

[swisspm]

Hello Mark,

They measure whether a given fund has outperformed or underperformed another fund or a benchmark during a period of market strength and weakness. The upside capture ratio is calculated by taking the fund's return during a period and dividing it by the other fund’s (or benchmark) return during that period.

see https://www.morningstar.com/articles/37 ... ure-ratios.

I realise that this can be done on a case-by-case basis by creating a blended investment, but it would be useful to have such a measure as a standard formula when creating reports for a large number of funds.

Thanks and regards

[Mark]

Hi swisspm,

Thanks for the information. It is something we can consider adding. We do have some similar relative statistics you can use for comparing against a benchmark of your choice. See:

Alpha
Beta
Correlation
R-Squared
Standard Deviation of Returns
Sharpe Ratio