Down-Market Capture Ratio

What is the 'Down-Market Capture Ratio'

The down-market capture ratio is 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.

RELATED TERMS
  1. Up-Market Capture Ratio

    A statistical measure of an investment manager's overall performance ...
  2. Combined Ratio

    A measure of profitability used by an insurance company to indicate ...
  3. Index Investing

    A form of passive investing that aims to generate the same rate ...
  4. Ratio Analysis

    A ratio analysis is a quantitative analysis of information contained ...
  5. Current Ratio

    The current ratio is a liquidity ratio measuring a company's ...
  6. Batting Average

    A statistical measure used to measure an investment manager's ...
Related Articles
  1. Mutual Funds & ETFs

    VGENX: Vanguard Energy Fund Risk Statistics Case Study

    Explore a risk statistics case study on the Vanguard Energy Fund, and learn about its historical modern portfolio theory and volatility statistics.
  2. Mutual Funds & ETFs

    VFINX: Vanguard 500 Index Fund Investor Risk Statistics Case Study

    Discover a risk statistics case study of the Vanguard 500 Index Fund, and learn about its historical beta, alpha, Treynor ratio and volatility.
  3. Mutual Funds & ETFs

    FCNTX: Fidelity Contrafund Risk Statistics Case Study

    Explore a risk statistics case study on the Fidelity Contrafund, including its characteristics and how it has performed against the S&P 500 Index.
  4. Mutual Funds & ETFs

    DODGX: A Risk Statistics Case Study

    Review a volatility and modern portfolio theory statistics case study of the Dodge & Cox Stock Fund, and consider whether it suits your investment profile.
  5. Mutual Funds & ETFs

    3 Expensive Growth ETFs Worth Your While (PWB, QQXT)

    Compare the performances of three growth ETFs with their expense ratios, and consider the cost efficiency of the ETFs having higher management expenses.
  6. Mutual Funds & ETFs

    3 Expensive U.S. Fixed Income ETFs Worth Your While (FPE, PGF)

    Consider the impressive yields and capital appreciation opportunities presented by preferred stock ETFs when selecting fixed-income investments.
  7. Mutual Funds & ETFs

    DBA vs. USAG: Comparing Agriculture ETFs

    Read a comparison of USAG and DBA, and learn about the characteristics, strategies and performance statistics of these agriculture exchange-traded funds.
  8. Mutual Funds & ETFs

    Looking for Non-U.S. Yield? Consider This Powershares EM ETF (PCY)

    Explore an analysis of the PowerShares Emerging Markets Sovereign Debt ETF, and learn about its characteristics and whether you should consider the ETF.
  9. Mutual Funds & ETFs

    VGHCX: Vanguard Health Care Fund Risk Statistics Case Study

    Discover one of the largest health care-focused mutual funds, and learn about the fund's historical values for seven key risk measures.
  10. Mutual Funds & ETFs

    Create Your Own U.S. Equity Portfolio

    Find out how to structure your portfolio so you can maximize returns.
RELATED FAQS
  1. What is the difference between a sharpe ratio and an information ratio?

    Understand the meaning of the Sharpe ratio and the information ratio, and understand how they differ as tools for evaluating ... Read Answer >>
  2. Why do shareholders need financial statements?

    Discover the importance of a company's financial statements for stock shareholders in evaluating their equity investment ... Read Answer >>
  3. What role does ratio analysis play in valuing a company?

    Learn about the role of ratio analysis in determining company value, including some of the most common ratios used by modern ... Read Answer >>
  4. How do stock dividends affect the retained earnings account?

    Understand the difference between financial ratio analysis and accounting ratio analysis. Learn why ratio analysis is important ... Read Answer >>
  5. What are the advantages and disadvantages of zero-based budgeting in accounting?

    Learn how the information ratio is calculated as a risk-adjusted measure of performance, and understand how it seeks to differentiate ... Read Answer >>
  6. What is the difference between efficiency ratios and profitability ratios?

    Learn about efficiency and profitability ratios, what these ratios measure and the main difference between efficiency and ... Read Answer >>
Hot Definitions
  1. Labor Market

    The labor market refers to the supply and demand for labor, in which employees provide the supply and employers the demand. ...
  2. Demand Curve

    The demand curve is a graphical representation of the relationship between the price of a good or service and the quantity ...
  3. Goldilocks Economy

    An economy that is not so hot that it causes inflation, and not so cold that it causes a recession. This term is used to ...
  4. White Squire

    Very similar to a "white knight", but instead of purchasing a majority interest, the squire purchases a lesser interest in ...
  5. MACD Technical Indicator

    Moving Average Convergence Divergence (or MACD) is a trend-following momentum indicator that shows the relationship between ...
  6. Over-The-Counter - OTC

    Over-The-Counter (or OTC) is a security traded in some context other than on a formal exchange such as the NYSE, TSX, AMEX, ...
Trading Center