BacktestFolio · Glossary
Upside Capture
In plain language
If in good benchmark months your portfolio gains on average 80% of what the benchmark gains, Upside Capture is 80%. Ideally you want 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 positive to the average benchmark return in those same months, expressed as a percentage. Values above 100% indicate the portfolio amplifies benchmark rallies.