Up Capture & Down Capture Ratios in Excel | Portfolio Performance

Join Ryan O'Connell, CFA, FRM, as he expertly guides you through mastering Up Capture and Down Capture Ratios in Excel, essential tools for evaluating your portfolio's performance against the market. Discover how to leverage your ETF data to calculate daily returns, up rates, down rates, and clean your data for precise analysis. By the end of this tutorial, you'll be equipped to calculate both up-market and down-market capture ratios, empowering you to make informed investment decisions.
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Chapters:
0:00 - Up Capture & Down Capture Definitions
0:24 - A Brief Overview of Our ETF Data
1:21 - Calculate Daily Returns
2:16 - Calculate Up Rates and Down Rates
4:51 - Clean the Up Rate & Down Rate Data
6:20 - Calculate Up-Market Capture Ratio
8:27 - Calculate Down-Market Capture Ratio
*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC

[@RyanOConnellCFA]

👨‍💼 My Freelance Financial Modeling Services: ► Need custom financial modeling? Let's collaborate: ryanoconnellfinance.com/hire-me/ 💾 Download Free Excel File: ► Download the file created in this video free here: ryanoconnellfinance.com/product/information-ratio-tracking-error-excel-workbook/

[@joeaoun6321]

Really appreciate the clarity of your videos. Thanks for putting up this content

[@RyanOConnellCFA]

It is my pleasure and I'm glad you're getting value out of them!

[@RakanXYZ]

thank you for this, ive managed to use this methodology to calculate sortino ratio. you dont cover that in any videos though, do you not like it?

[@MegaDapter]

Hey. Great video. Just wondering why some sources calculate the up or down return using 1/n in the exponent where n is the number of periods? You calculated a cumulative return. Would the end ratio be the same?

[@clarknicholls]

Great summary Ryan for these ratio. If the fund is 'market neutral', so that when the index is down and the fund is still up on average, should the down capture ratio be treated any differently?

[@RyanOConnellCFA]

Hi @clarknicholls, thanks for the compliment! In a market neutral fund, the down capture ratio is often significantly lower, as the fund aims to remain stable or gain when the index falls. This ratio still provides valuable insight, indicating the fund's effectiveness at mitigating losses compared to the market.

[@victoricus1]

Ryan, hi! If up capture ratio is greater than down capture ratio, as in the example from this video, does this mean that the portfolio performed better than the SP500 ETF overall? Or there is no such connection between up capture and down capture ratio?

[@RyanOConnellCFA]

Hi @victoricus1, great question! If the up capture ratio is greater than the down capture ratio, it typically indicates that the portfolio captured more of the gains during market upswings and less of the losses during downturns compared to the S&P 500 ETF. This generally suggests better relative performance, especially in volatile markets. However, whether the portfolio performed better than the S&P 500 ETF overall isn't solely determined by these ratios.