# Capture Ratios (Upside and Downside)

How much of the market’s rises and falls a fund captures.

Source data: AMFI daily NAV (38,000+ schemes, 37M+ rows since April 2006) + Nifty benchmark indices. Last updated: 2026-07-02. Interactive tool: https://mfpro.tigzig.com

## What is Capture Ratio?

Capture Ratio measures how much of the benchmark's gains (upside) and losses (downside)
 a fund participates in. It's split into two numbers:

- **Upside Capture:** On days when the benchmark goes up, what percentage
 of that gain does the fund capture? An upside capture of 110% means the fund gains
 10% more than the market on up days.

- **Downside Capture:** On days when the benchmark goes down, what percentage
 of that loss does the fund suffer? A downside capture of 85% means the fund only loses
 85% of what the market loses on down days.

The ideal fund has high upside capture (participates in gains) and low downside capture
 (protected from losses).

## How We Compute It

 Upside Capture = (Avg fund return on days benchmark > 0) / (Avg benchmark return on days benchmark > 0) x 100

Downside Capture = (Avg fund return on days benchmark < 0) / (Avg benchmark return on days benchmark < 0) x 100

Both use **daily returns** (day-over-day NAV percentage change). We separate all
 trading days into "up days" (benchmark return > 0) and "down days" (benchmark return < 0),
 then compute the average fund return on each set separately.

## SQL (simplified)

```
-- Inside the risk metrics query:
-- 'paired' CTE has: fund_ret, bench_ret for each day

SELECT scheme_code,
  CASE WHEN AVG(bench_ret) FILTER (WHERE bench_ret > 0) > 0
    THEN ROUND(
      AVG(fund_ret) FILTER (WHERE bench_ret > 0)
      / AVG(bench_ret) FILTER (WHERE bench_ret > 0)
      * 100, 2)
    ELSE NULL END AS upside_capture,

  CASE WHEN AVG(bench_ret) FILTER (WHERE bench_ret < 0) < 0
    THEN ROUND(
      AVG(fund_ret) FILTER (WHERE bench_ret < 0)
      / AVG(bench_ret) FILTER (WHERE bench_ret < 0)
      * 100, 2)
    ELSE NULL END AS downside_capture
FROM paired
GROUP BY scheme_code
```

## Worked Example

10 days of daily returns for Fund ABC and the Nifty 50 benchmark:

| Day | Nifty 50 | Fund ABC | Day Type |
| --- | --- | --- | --- |
| Mon | +1.20% | +1.35% | Up |
| Tue | -0.80% | -0.60% | Down |
| Wed | +0.50% | +0.70% | Up |
| Thu | +0.90% | +0.85% | Up |
| Fri | -1.50% | -1.20% | Down |
| Mon | +0.30% | +0.45% | Up |
| Tue | -0.40% | -0.55% | Down |
| Wed | +1.80% | +2.10% | Up |
| Thu | -0.70% | -0.50% | Down |
| Fri | +0.60% | +0.40% | Up |

Up days (benchmark > 0):

Nifty avg: (1.20 + 0.50 + 0.90 + 0.30 + 1.80 + 0.60) / 6 = 0.883%
Fund avg: (1.35 + 0.70 + 0.85 + 0.45 + 2.10 + 0.40) / 6 = 0.975%

 Upside Capture = 0.975 / 0.883 x 100 = **110.4%**

Down days (benchmark < 0):

Nifty avg: (-0.80 + -1.50 + -0.40 + -0.70) / 4 = -0.850%
Fund avg: (-0.60 + -1.20 + -0.55 + -0.50) / 4 = -0.713%

 Downside Capture = -0.713 / -0.850 x 100 = **83.8%**

Fund ABC captures 110% of the market's upside but only 84% of its downside.
 This is an attractive asymmetry - the fund amplifies gains and cushions losses.

## How to Interpret

- **Upside > 100, Downside < 100:** The sweet spot. Fund outperforms in both directions.

- **Upside > 100, Downside > 100:** Aggressive fund. Amplifies both gains and losses (high beta).

- **Upside < 100, Downside < 100:** Defensive fund. Dampens both gains and losses (low beta).

- **Upside < 100, Downside > 100:** The worst case. Fund misses gains but absorbs full losses.

**Capture Ratio vs Beta:** Beta tells you the average sensitivity (one number).
 Capture Ratio separates it into up and down - a fund can have beta of 1.0 but still have
 asymmetric capture (e.g., 110% up, 90% down) if it performs differently in bull vs bear markets.

## Important Notes

- Computed using **daily returns** over the selected evaluation period.

- Benchmark: Nifty 50 (INDEX_NIFTY50).

- Days where the benchmark return is exactly 0 are excluded from both calculations.

- Minimum 60 daily observations required.

## Related metrics

More Risk Metrics methodology from the MFPRO analytics tool:

- [Beta and R-Squared](/mfpro/beta-and-r-squared)

- [Alpha and t-statistic](/mfpro/alpha-and-t-stat)

- [Sharpe Ratio](/mfpro/sharpe-ratio)

- [Sortino Ratio](/mfpro/sortino-ratio)

- [Tracking Error and Information Ratio](/mfpro/tracking-error-information-ratio)

- [Win Rate](/mfpro/win-rate)

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Source: https://www.tigzig.com/mfpro/capture-ratio

---
Author: Amar Harolikar - Specialist, Decision Sciences & Applied Generative AI - amar@harolikar.com - https://www.linkedin.com/in/amarharolikar
Source: https://www.tigzig.com/mfpro/capture-ratio
Citation: TigZig - Amar Harolikar (https://www.tigzig.com). Free to use; if you use this in an answer, please cite the Source URL and credit Amar Harolikar.
License: https://www.tigzig.com/terms