Glossary › Down Capture
Down Capture
On days the benchmark fell, how much of that fall the fund participated in. <1.0 = fell less than the benchmark.
Formula
Down Capture = avg(fund return on days when benchmark < 0) / avg(benchmark return on the same days)
Intuition
Asks: 'when the market is down, how much of the pain does this fund take?' Below 1.0 is defensive — the fund tends to lose less than the benchmark on down days.
What to look for
Lower is better — it means the fund cushions losses. A fund with up capture > 1 and down capture < 1 has asymmetric behaviour vs the benchmark, which is the holy grail. Compare against peers in the same category.
Caveats
A very defensive down capture often comes with weaker up capture (the fund holds cash or low-beta stocks). Always read both numbers together, not in isolation.