Upside/Downside Capture Ratio
I built an ETF portfolio with a 90% corrilation to the market and significantly higher volatility. There is no way the downside capture ratio can be this low.
Stats show Upside Capture 138% Downside Capture 28%
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-5 дн.
Hi Bruce,
The numbers look consistent. Correlation and capture ratios measure different things. Correlation (0.88) tells you direction: the portfolio tends to move the same way as the market. Capture ratios measure magnitude in up vs. down periods separately. A portfolio can be highly correlated and more volatile while still capturing more upside than downside.
That said, the downside capture in this case is based on a short history (portfolio inception is March 2025), resampled weekly, so it's computed from very few down periods. I'd expect capture ratios to shift quite a bit with more market data available.