Upside Capture Return

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

Determine number of upside periods,

Then,

Otherwise, UCR=NULL

Arithmetic Upside 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 upside capture returns are calculated the same.