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Ch.11 · Comparing Fund Performance · hard

What is the 'upside capture ratio' of a mutual fund?

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EXPLANATION

Upside capture ratio = Fund return in up-months ÷ Benchmark return in up-months × 100. A ratio above 100% means the fund outperformed the benchmark during market rallies. Ideally, investors want high upside capture and low downside capture.

A.The fund's average return in the top quartile months of market performance

B.The percentage of total AUM invested in stocks with upside potential

C.The percentage of benchmark gains captured by the fund during benchmark up-months [✓ Correct]

D.The ratio of profitable months to total months since inception

EXPLANATION

Upside capture ratio = Fund return in up-months ÷ Benchmark return in up-months × 100. A ratio above 100% means the fund outperformed the benchmark during market rallies. Ideally, investors want high upside capture and low downside capture.

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