BacktestFolio · Glossary
Downside Capture
In plain language
If in negative benchmark months your portfolio loses on average only 60% of what the benchmark loses, the Downside Capture is 60%. The ideal asymmetric profile: high Upside Capture (participate in rallies) and low Downside Capture (protect on the downside).
Technical definition
Ratio of the average portfolio return in months when the benchmark is negative to the average benchmark return in those same months, expressed as a percentage. Values below 100% indicate the portfolio loses less than the benchmark in downturns.