Upside Capture Ratio Calculator
Calculate the upside capture ratio to measure how well an investment performs during bull markets. This ratio shows the percentage of upside market moves that the investment captures.
Upside Capture Ratio Results
Market Analysis
Capture Ratio Benchmarks
Excellent: > 110%
Good: 100-110%
Fair: 90-100%
Poor: < 90%
Note: 100% = perfect capture
Understanding Upside Capture Ratio
The upside capture ratio measures how well an investment performs during positive market periods. It shows the percentage of the market's upside moves that the investment captures, helping investors understand bull market performance.
Upside Capture Ratio Formula
The upside capture ratio is calculated as:
Upside Capture = (Investment Up Return ÷ Benchmark Up Return) × 100
Only periods when benchmark is positive are included
Interpreting Capture Ratios
| Capture Ratio | Performance Level | Interpretation |
|---|---|---|
| > 110% | Excellent | Outperforms market in up moves |
| 100-110% | Good | Captures most upside moves |
| 90-100% | Fair | Moderate upside capture |
| < 90% | Poor | Misses significant upside |
Upside vs. Downside Capture
Capture ratios are calculated separately for up and down markets to provide a complete picture of performance.
- Upside Capture: Performance in rising markets (higher is better)
- Downside Capture: Performance in falling markets (lower is better)
- Combined Analysis: Both ratios together give complete risk-return picture
- Investment Style: Aggressive investments typically have higher upside capture
- Defensive Strategy: Conservative investments may have lower upside capture
Applications
- Fund Evaluation: Compare mutual fund performance in bull markets
- Portfolio Analysis: Assess strategy effectiveness in rising markets
- Manager Selection: Choose managers who capture upside well
- Risk Assessment: Understand potential for market participation
- Performance Attribution: Identify sources of outperformance
Advantages
- Market Timing: Focuses on positive market environments
- Performance Clarity: Shows ability to participate in gains
- Comparative Analysis: Easy to compare across investments
- Behavioral Insights: Reveals investment behavior in bull markets
- Expectation Setting: Helps set realistic return expectations
Limitations
- Time Period Bias: Results depend on selected time periods
- Market Definition: Choice of benchmark affects calculations
- Short-term Focus: May not reflect long-term performance
- Volatility Ignored: Doesn't consider magnitude of moves
- Single Direction: Only considers one side of market movements
Using Capture Ratios
Capture ratios are most useful when analyzed together with other performance metrics.
- Complete Picture: Use both upside and downside capture ratios
- Risk-Adjusted: Combine with Sharpe or Sortino ratios
- Peer Comparison: Compare against similar investments
- Market Cycle: Consider current market environment
- Investment Goals: Align with risk tolerance and objectives
Tip: The upside capture ratio helps investors understand how well their investments participate in market gains. A ratio above 100% indicates the investment outperforms the market during up periods, while below 100% suggests it lags behind.