Upside / Downside Capture Ratios - Mutual Fund gained more or lost less than benchmark

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Upside / Downside Capture Ratios - Whether a fund has gained more or lost less than any benchmark and by how much

Apart from the Sharpe Ratio, the two other ratios which were mentioned earlier were the upside capture ratio (UR) and downside capture ratio (DR). These ratios, looked at in tandem, show you whether a fund has gained more or lost less than any benchmark and by how much.

 

Upside Capture Ratios

 

The UR is calculated by taking the fund’s monthly return for those time periods when its benchmark has posted positive returns and dividing the fund’s return by the benchmark’s return in the same month.

 

Downside Capture Ratios

 

The DR is calculated by taking the fund’s monthly return for negative return months for the benchmark and dividing it by the benchmark’s return.

A UR of above 100 implies that the fund has outperformed the benchmark during periods of positive benchmark returns while a DR of below 100 implies that the fund has lost less than its benchmark in negative return periods. Hence, a UR close to 100 and above and DR below 100 is desirable.

It is important to note that just a single ratio should not be used for making investment decisions. Any ratio should be analysed in conjunction with others before arriving at your optimal investment choice.

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