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.
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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.
How much the portfolio rides the rallies
Comparing managers by total return alone hides how they behave in different scenarios. The up capture ratio isolates one half of the story: what the portfolio did specifically in the months the market rose. A value above one hundred percent says it captured more than the index's gain; below, that it lagged when the wind was at its back.
The calculation here follows the Morningstar standard, geometrically compounding the returns of the up periods rather than taking a simple average, which better reflects the effect of time on capital. Up capture shines when read alongside down capture: the ideal manager captures much of the upside and little of the downside, an asymmetric profile that's hard to achieve.
Enter the portfolio and benchmark returns, in the same order and period. The tool selects the months the benchmark rose, compounds both sides' returns and returns the ratio as a percentage. Note that Morningstar's official methodology also annualizes each side; here we use the ratio of compounded returns, defensible for series of one reporting period.
Related Tools
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.
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.
Tracking Error
Computes a portfolio's tracking error: the standard deviation of the differences between the portfolio's returns and the benchmark's, period by period. It measures how much the portfolio diverges from its reference index — an index fund aims for tracking error near zero, while an active fund has a higher one, reflecting its bets. It's the denominator of the information ratio. Enter the lists of portfolio and benchmark returns, in the same order, separated by commas.
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.