Ch.10 · Benchmarks and Performance Evaluation · hard
What is the 'upside capture ratio' and 'downside capture ratio' in fund performance analysis?
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EXPLANATION
Upside capture ratio measures what percentage of the benchmark's gains the fund captures when the market rises. Downside capture ratio measures what percentage of the benchmark's losses the fund captures when the market falls. An ideal fund has upside capture > 100% and downside capture < 100% — capturing more of the gains than losses.
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