Downside Capture Return

Downside Capture Return is a measure of the manager�s performance in periods when the market (benchmark) goes down.

Determine number of downside periods,

Then,

Otherwise, DCR=NULL

Arithmetic Downside Capture Return is calculated similarly, except the arithmetic average return is computed instead of geometric average return:

1 For the capture ratios, the benchmark's downside capture returns are calculated the same.

4Calculation