Up/Down Capture Ratios

Return Metrics
Updated Apr 2026 • Has calculator

Measure how much of a benchmark's gains a fund captures in rising markets, and how much of its losses it incurs in falling markets.

What is Capture Ratios?

Up-capture and down-capture ratios measure a fund's participation in benchmark up-months and down-months respectively, expressed as a percentage. An up-capture ratio above 100% means the fund gained more than the benchmark in positive periods; a down-capture ratio below 100% means the fund lost less than the benchmark in negative periods. The ideal combination is up-capture > 100% with down-capture < 100%, indicating the fund amplifies gains while cushioning losses. Capture ratios are most meaningful when evaluated together: a fund with 120% up-capture and 110% down-capture is essentially just a leveraged index bet, not genuine alpha generation. These ratios are widely used by institutional investors to evaluate whether active managers add value in both up and down markets.

Formula

Up Capture = avg(fund returns in up periods) / avg(bench returns in up periods) × 100

Worked Example

Worked example — Hypothetical Active Fund vs S&P 500

10 Monthly Observations

Step 1  Fund returns (%): 8, −2, 12, 5, −1, 10, 3, 7, −3, 6
Step 2  S&P 500 returns (%): 6, −3, 10, 4, −2, 8, 2, 5, −4, 5
Step 3  Up months (bench > 0): bench avg = 5.71%, fund avg = 6.71%
Step 4  Down months (bench < 0): bench avg = −3.00%, fund avg = −2.00%
Step 5  Up Capture = 6.71/5.71 × 100 = 117%; Down Capture = −2.00/−3.00 × 100 = 67%
Step 6  → Captures 117% of upside, only 67% of downside — excellent asymmetry

Source: CFA Institute — Portfolio Management, 7th ed., Ch. 7 (2023-01-01)

Calculate Capture Ratios

Enter comma-separated fund period returns (monthly or annual)

Enter comma-separated benchmark returns for the same periods

Up / Down Capture

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Not investment advice.

How to Interpret Capture Ratios

< 80
Up Capture < 80% — fund significantly misses benchmark upside
80 – 100
Up Capture 80–100% — slight underperformance in up markets
100 – 120
Up Capture 100–120% — captures benchmark gains plus some extra
> 120
Up Capture > 120% — amplifies benchmark gains; verify down-capture

📚 Advanced Risk — Complete the path

  1. Value at Risk
  2. Max Drawdown
  3. Calmar Ratio
  4. Capture Ratios
  5. Kelly Criterion
Sources
  1. CFA Institute — Portfolio Management, 7th ed., Ch. 7
  2. Investopedia — Up/Down Capture Ratio