Down-Market Capture Ratio


DEFINITION of 'Down-Market Capture Ratio'

A statistical measure of an investment manager's overall performance in down-markets. The down-market capture ratio is used to evaluate how well or poorly an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager's returns by the returns of the index during the down-market and multiplying that factor by 100.

down market capture ratio = manager returns/index returns x 100

BREAKING DOWN 'Down-Market Capture Ratio'

An investment manager who has a down-market ratio less than 100 has outperformed the index during the down-market. For example, a manager with a down-market capture ratio of 80 indicates that the manager's portfolio declined only 80% as much as the index during the period in question. Many analysts use this simple calculation in their broader assessments of individual investment managers.

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