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Upside/Downside Capture Ratio

Questions on using, creating, or understanding data in Fund Manager reports.

Postby swisspm » Sat Feb 17, 2024 1:34 am

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.
swisspm
 
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Postby Mark » Sat Feb 17, 2024 8:50 am

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?
Thanks,
Mark
Fund Manager - Portfolio Management Software
Mark
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Postby swisspm » Mon Feb 19, 2024 3:52 am

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
swisspm
 
Posts: 16
Joined: Thu Mar 27, 2014 1:23 am

Postby Mark » Mon Feb 19, 2024 9:04 am

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
Thanks,
Mark
Fund Manager - Portfolio Management Software
Mark
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Posts: 11287
Joined: Thu Oct 25, 2007 2:24 pm
Location: Chandler, AZ


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