Down Capture Ratio
Computes a portfolio's down capture ratio: how much it fell alongside the benchmark during periods when the index dropped, by the geometric compounded method. Here, less is better — a value below one hundred percent means the portfolio lost less than the market in declines, a sign of good protection. A negative value means the portfolio rose while the market fell. Together with up capture, it describes the manager's asymmetric profile. Enter the lists of portfolio and benchmark returns.
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Down Capture Ratio
Computes a portfolio's down capture ratio: how much it fell alongside the benchmark during periods when the index dropped, by the geometric compounded method. Here, less is better — a value below one hundred percent means the portfolio lost less than the market in declines, a sign of good protection. A negative value means the portfolio rose while the market fell. Together with up capture, it describes the manager's asymmetric profile. Enter the lists of portfolio and benchmark returns.
How much the portfolio suffers in declines
If up capture shows performance in rallies, down capture shows the other half, perhaps the more important one: how the portfolio behaves when the market falls. And here the logic flips — less is better. A down capture of 67% means that, in declines, the portfolio lost only two-thirds of what the index lost, quite some protection.
There's a telling special case: when down capture goes negative. That only happens if the portfolio rises while the market falls, the holy grail of defensive management. Combining a high up capture with a low down capture is what defines the managers who truly add value across full cycles, not just in rising markets.
Enter the portfolio and benchmark returns, in the same order. The tool selects the months the benchmark fell, geometrically compounds the returns and returns the ratio as a percentage, by the Morningstar standard. The longer the series, the more reliable the picture, since a few down months can distort the number.
Related Tools
Up Capture Ratio
Computes a portfolio's up capture ratio: how much it kept pace with the benchmark during periods when the index rose, using the geometric compounded method (Morningstar standard). A value above one hundred percent means the portfolio captured more than the market's rise in good months; below, that it lagged on the way up. It's one half of the pair with down capture, which measures behavior on the way down. Enter the lists of portfolio and benchmark returns, in the same order.
Burke Ratio
Computes the Burke ratio: the excess return over the risk-free rate divided by the square root of the sum of squared drawdowns. Unlike the Sharpe ratio, which penalizes all volatility, Burke focuses only on the falls, and by squaring each drawdown it punishes deep falls more than shallow ones. It's one of the tail-risk-adjusted performance metrics. Enter the portfolio return, the risk-free rate and the list of drawdowns in percent.
Batting Average
Computes a manager's batting average: the percentage of periods in which the portfolio's return beat the benchmark's. Borrowed from baseball, the concept measures consistency, not magnitude — a manager who beats the index in seven of ten months has a 70% batting average. It's useful for telling apart those who win often from those who depend on a few exceptional months. Enter the lists of portfolio and benchmark returns, in the same order.
Appraisal Ratio (Treynor-Black)
Computes the Treynor-Black appraisal ratio: a manager's alpha divided by the standard deviation of residual risk, the part not explained by the market. It measures the quality of security selection per unit of specific risk taken, and is the central metric for deciding how much to allocate to an active strategy. The higher it is, the better the manager extracts abnormal return without taking on too much diversifiable risk. Enter the alpha and the residual standard deviation.
Martin Ratio (UPI)
Computes the Martin ratio, also called the Ulcer Performance Index (UPI): the excess return over the risk-free rate divided by the ulcer index. The ulcer index is the root mean square of drawdowns, a measure of how deep and how long the portfolio stays below its peaks. The Martin ratio thus rewards the return earned per unit of that tail pain. Enter the portfolio return, the risk-free rate and the ulcer index, all in percent.
Sterling Ratio
Computes the Sterling ratio, a drawdown-adjusted performance measure. It divides return by a measure of how much the portfolio typically falls from peak to trough, rewarding strategies that deliver return without big drops. The tool shows two versions: the modern one, using excess return over the risk-free rate divided by the average drawdown, and the original Deane Sterling Jones form, which adds a ten percent constant to the denominator. Enter the annualized return, the risk-free rate and the average annual maximum drawdown.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.