Term Glossary

Metrics, Models & Concepts

Up Capture Ratio


Up Capture Ratio is a measure of an asset's average compound return when the benchmark (e.g market index) was up, divided by the benchmark's average compound return when the benchmark was up. The higher is this ratio, the better is relative performance of an asset. \begin{equation} UCR = \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_upCaptureRatio, position_upCaptureRatio