Up and Down Capture

The up and down capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns.

To calculate the up capture, we first form new series from the manager and benchmark series by dropping all time periods where the benchmark return is zero or negative. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The down capture is calculated analogously.

UpCapture =

where

n_p = number of positive benchmark returns
s_k = k-th positive benchmark return
r_i = manager return for the same period as the i-th positive benchmark return
y = number of years, counting periods of positive benchmark returns only

For the down capture, just use the non-positive returns instead of the positive ones.

Related Statistics:
Number of Up and Down Returns
Average Up and Down Capture