Portfolio Analytics

Capture Ratio

Definition

What is Capture Ratio?

Up-capture divided by down-capture, used to compare participation in gains with participation in losses.

Example in practice

A ratio above one suggests a favourable historical balance.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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