The up capture ratio is a measure of a manager’s sensitivity to an index when the index has positive returns. It is calculated by dividing the manager’s annualized performance return for the intervals of time during the measurement period when the index was positive by the index’s positive returns over the same intervals.
For example, if the S&P 500 was up 100 basis points, and a manager was up 35 basis points over the exact same period of time, the up capture ratio would equal 35%. An up capture ratio that is greater than 100% indicates a manager returned more than the index when the index had positive returns. Likewise, an up capture ratio that is less than 100% indicates a manager returned less than the index when the index had positive returns.
Lastly, an up capture ratio that is negative indicates a manager had negative returns when the index had positive returns. Since the up capture ratio measures how much of the positive index returns a manager captured, more is better. However, the up capture ratio (and all risk measures) should be evaluated in conjunction with other investment metrics to best assess the manager’s performance and risk profile.
For example, if the S&P 500 was up 100 basis points, and a manager was up 35 basis points over the exact same period of time, the up capture ratio would equal 35%. An up capture ratio that is greater than 100% indicates a manager returned more than the index when the index had positive returns. Likewise, an up capture ratio that is less than 100% indicates a manager returned less than the index when the index had positive returns.
Lastly, an up capture ratio that is negative indicates a manager had negative returns when the index had positive returns. Since the up capture ratio measures how much of the positive index returns a manager captured, more is better. However, the up capture ratio (and all risk measures) should be evaluated in conjunction with other investment metrics to best assess the manager’s performance and risk profile.
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| Up Capture Ratio |
