Portfolio Analytics
Down-Capture Ratio
Definition
What is Down-Capture Ratio?
A measure of how a fund performed relative to its benchmark during periods when the benchmark fell.
Example in practice
How This Looks in Practice
A down-capture ratio of 70 means the fund lost less than the benchmark in declining periods.
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Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.