Term Glossary

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. $$DCR = \frac{E(r|r_{M}<0)}{E(r_{M}|r_{M}<0)}$$

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

Function Reference
portfolio_downCaptureRatio, position_downCaptureRatio