Upside, Downside Capture Ratios now available!

Upside and Downside Capture Ratios are now available!  They can be found under the Statistical folder as shown below and used on Custom Price Pages and Queries.

Upside Capture ratios are calculated by taking a stock’s weekly return during weeks where the benchmark had a positive return and dividing it by the benchmark return during that same week.

Downside Capture ratios are calculated by taking the stock’s weekly return during the periods of negative benchmark performance and dividing it by the benchmark return during that same week.

Ratios over one-, three-, five-, 10-, and 15-year periods use the geometric average for both the stock and index returns during the up and down weeks, respectively, over each time period.

Capture Ratios are similar to Beta but calculate only specific periods. 

An Upside Capture ratio over 1.00 indicates a stock has generally outperformed the benchmark during periods of positive returns for the benchmark.

Meanwhile, a Downside Capture ratio of less than 1.00 indicates that a stock  has lost less than its benchmark in periods when the benchmark has underperformed.

All Capture ratios are calculated versus the S&P 500.