upside/downside capture ratio
Downside Capture RatioDownside Capture Ratio measures manager's performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0. In essence, it tells you what percentage of the down-market was captured by the manager. For example, if the ratio is 110%, the manager has captured 110% of the down-market and therefore underperformed the market on the downside. To calculate this data point, the fund is compared to its primary benchmark index.
Upside Capture RatioUpside Capture Ratio measures a manager's performance in up markets relative to the market (benchmark) itself. It is calculated by taking the fund’s upside capture return and dividing it by the primary benchmark index upside capture return.
Upside Capture ReturnUpside Capture Return is a measure of the manager’s performance in periods when the market (benchmark) goes up.
Downside Capture ReturnDownside Capture Return is a measure of the manager’s performance in periods when the market (benchmark) goes down.
- 8 years agoFavorite Answer
Upside Capture Return 是計算基金回收在上揚的市場狀況賺到的回收。
Downside Capture Return 是計算基金回收在下挫的市場狀況賺到的回收。
Upside Capture Ratio 比率，拿基金回收在上揚的市場狀況賺到的回收跟指定指數的上生相比。(基金管理專家照理應該懂得在任何市場狀況下賺錢。)
例如：如果指標指數是S&P500，市場上升，指數上15點 (1500-1485) (15/1485= 1%)。同時，基金的上升是$0.15 ($5-$4.85=$0.15) 或 0.15/4.85 = 3.09%(Upside Capture Return )
. 兩者比率是: 1 : 3.09 = 1 / 3.09 = 0.32 (Upside Capture Ratio)
1 : 5.0 = 0.20