Term Glossary

Metrics, Models & Concepts

Down Capture Ratio


Down Capture Ratio is a measure of an asset's average compound return when the benchmark (e.g market index) was down, divided by the benchmark's average compound return when the benchmark was down. The lower is this ratio, the better is relative performance of an asset. \begin{equation} DCR = \frac{E(r|r_{M}<0)}{E(r_{M}|r_{M}<0)} \end{equation}

\(r\)
asset return
\(r_{M}\)
market index (benchmark) return


Function Reference
portfolio_downCaptureRatio, position_downCaptureRatio