Up-Market Capture Ratio.

The up-market capture ratio is a performance metric that measures the percentage of an investment's positive returns relative to the overall market. For example, if an investment has an up-market capture ratio of 80%, it means that the investment has gained 80% of the market's gains and lost 20% of the market's losses. The up-market capture ratio is a useful tool for assessing an investment's risk-adjusted return.

What is the upside/downside ratio? The upside/downside ratio is a risk management tool that measures the potential return of an investment in relation to the potential downside risk.

The upside/downside ratio is calculated by dividing the potential upside of an investment by the potential downside.

For example, if an investment has a potential upside of 10% and a potential downside of 5%, the upside/downside ratio would be 2.

The higher the upside/downside ratio, the more attractive the investment.

The downside of the upside/downside ratio is that it does not take into account the probability of the upside or the downside occurring.

It is possible to have a high upside/downside ratio and still lose money if the downside is more likely to occur than the upside.

What does a negative downside capture ratio mean?

A negative downside capture ratio means that a portfolio's performance during periods of market decline has been worse than the market's overall performance during those same periods. In other words, the portfolio has lost more money than the market during market downturns.

There are a few potential explanations for this phenomenon:

1) The portfolio may be invested in particularly volatile or risky assets that tend to lose value more than the market during periods of market decline.

2) The portfolio manager may have made poor investment decisions during periods of market decline, leading to underperformance.

3) The portfolio may be invested in assets that are relatively unpopular during periods of market decline, leading to lower prices and lower returns.

Whatever the reason, a negative downside capture ratio is generally not a good thing, and investors should be aware of this potential issue when considering investing in a particular portfolio.

What is market capture rate? The market capture rate is a ratio that measures how well a portfolio manager is able to capture the upside of the market while avoiding the downside.

The market capture rate is calculated by taking the difference between the manager's return and the return of the benchmark index, divided by the benchmark's return.

For example, if a portfolio manager achieved a return of 10% while the benchmark index returned 5%, the market capture rate would be 100%.

The market capture rate can be a useful tool for evaluating a manager's performance, but it should not be used as the sole measure. Other factors, such as the manager's risk-adjusted return, should also be considered.

How is Calmar ratio calculated?

The Calmar ratio is a risk-adjusted performance measure that is used to evaluate the performance of an investment strategy or portfolio. It is calculated by dividing the compound annual growth rate (CAGR) of an investment by its maximum drawdown.

The Calmar ratio is a useful tool for comparing the risk-adjusted performance of different investment strategies or portfolios. A higher Calmar ratio indicates a better risk-adjusted performance.

To calculate the Calmar ratio, you will need the following data:

- The CAGR of the investment
- The maximum drawdown of the investment

The Calmar ratio is calculated as follows:

Calmar ratio = CAGR / Maximum drawdown

For example, let's say that an investment has a CAGR of 10% and a maximum drawdown of 20%. The Calmar ratio would be calculated as follows:

Calmar ratio = 10% / 20% = 0.5

A Calmar ratio of 0.5 indicates that the investment has lost half of its value at its worst point. How is Treynor measured? Treynor measures the excess return of a portfolio over the risk-free rate per unit of market risk. In other words, it is a measure of a portfolio's risk-adjusted return.

To calculate Treynor, you need to first calculate the portfolio's beta. Beta is a measure of a security's or portfolio's volatility in relation to the market. Once you have the beta, you can then calculate the portfolio's Treynor ratio using the following formula:

Treynor Ratio = (Excess Return - Risk-Free Rate) / Beta

For example, let's say you have a portfolio with an annual return of 10%. The risk-free rate is currently 3%, and the portfolio's beta is 1.5. The Treynor ratio would be calculated as follows:

Treynor Ratio = (10% - 3%) / 1.5 = 4.67%

The higher the Treynor ratio, the better the risk-adjusted return of the portfolio.