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.
