Up and down capture

Capture ratios split a fund's record into the periods when its benchmark rose and the periods when it fell, usually month by month.

• Up capture is the fund's return in the rising months divided by the benchmark's return in those months, times 100.
• Down capture is the same for the falling months.

For example, a fund with an up capture of 90 and a down capture of 70 gained 90% as much as its benchmark when the market rose, and lost only 70% as much when it fell.

How to read them:

• An up capture above 100 means the fund rose more than the benchmark in rising months.
• A down capture below 100 means it fell less than the benchmark in falling months.
• A down capture above 100 means it fell more.

The two together say more than either alone. A fund that captures 80% of the rises and 60% of the falls has behaved very differently from one that captures 110% and 120%, even if their returns over the whole period look alike.

Like every figure drawn from past returns, capture ratios depend on the period chosen. Beta gives a single-number view of the same behaviour.