Downside capture
How much of the benchmark's losses the portfolio took on the days the benchmark fell.
Formula
Downside capture = Mean return on down days ÷ Benchmark's mean return on those days
How to read it
Below 100% lost less than the index on its bad days — paired with upside capture above 100%, the asymmetry everyone wants.
How to use it
A portfolio that falls less than its index in bad times can earn less in good ones and still come out ahead.
In Kereon
Portfolio. Over the benchmark's down days in the portfolio's price history; needs more than five of them.
Also called: downside capture, down capture.