Upside Capture Ratio

The Upside Capture Ratio shows the fund’s performance in an up market relative to the benchmark. FE Analytics allows the user to specify any fund, sector, index or portfolio as the desired benchmark.

The Upside Capture ratio should be greater than 100%, which would indicate that during periods when the market is up, the fund, on average, did even better. The higher the up capture, the better.

For example, if a fund has an upside ratio of 120% this means that the fund outperformed the benchmark by 20% in the up markets.

The ratio is calculated by taking the funds Upside Capture returns and dividing it by the benchmarks Upside Capture Returns for the same period. 

The Fund upside capture return is calculated by taking the funds returns during a specified period where the benchmarks return is greater than 1 and then compounding the funds returns by multiplying them together. 1 is subtracted from the result in order to convert the ratio into a percentage.

The Benchmark upside capture returns is calculated in the same way as the Fund upside capture return but using the benchmarks returns during the same time period.

Note: The Upside Capture Ratio is more useful (but not limited) over longer periods of time.