Up and Down Market Capture Calculator
Compare asset and benchmark compounded performance separately during benchmark-up and benchmark-down observations.
YOUR CALCULATION
Result
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Calculation steps
Work through one step at a time or reveal the complete calculation. The steps use your current inputs.
How to calculate
Select benchmark-positive and benchmark-negative observations separately. Geometrically annualize each selected asset and benchmark subset, then divide their returns.
Capture=annualized geometric asset return / annualized geometric benchmark return
Worked example
For one positive observation with asset +4% and benchmark +2%, frequency 1 gives upside capture 200%. Negative benchmark observations are analyzed separately; zero benchmark observations are excluded.
Assumptions and input details
2–500 paired equally spaced observations. This tool explicitly uses annualized geometric subset returns; vendor conventions can differ. No selected observations or a zero benchmark-return denominator makes that capture undefined. Negative downside capture can occur when the asset gains during benchmark-down observations. This is historical conditional performance, not downside protection or a forecast. No live market data or national tax rules are inferred. Enter consistent amounts in one currency unless explicitly stated otherwise.
References: CFA Institute: capture ratio conventions
Using this calculator
Can I enter my own problem?
Yes. Replace the example values with your own inputs. The result, calculation steps, tables and applicable diagrams update from those inputs. Blank or invalid values clear the result; example values are never silently substituted for missing inputs.
Are the results exact?
Results use floating-point arithmetic and displayed rounding. Read the formula, assumptions and any stated data precision before interpreting the result.
Is my input uploaded?
The calculation runs in your browser. No account, file upload or external AI service is required. Inputs are not saved between page reloads.
Regress matched asset and benchmark simple returns and show market sensitivity, alpha and tracking error.
Compare compounded returns across every equal-length historical window.
Add balances in different currencies, including debts. Convert the total and compare a table and currency chart.
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