Capture ratio
A pair of figures showing how much of the market's rise a portfolio repeated and how much of its fall it took on.
Formula
UC = \frac{r_p^{+}}{r_m^{+}}, \qquad DC = \frac{r_p^{-}}{r_m^{-}}Periods when the benchmark rose and periods when it fell are summed separately, and within each group the portfolio result is divided by the benchmark result. Both figures are fractions.
How to read the number
It splits what beta merges into a single number: a portfolio can repeat rallies in full and still fall deeper than the market, which one beta cannot show.
When the metric lies
The answer depends on how periods are cut — daily, monthly or quarterly readings differ. The two figures are also computed on different subsamples, so they cannot be compared directly with each other.
Also known as: upside and downside capture