Glossary › Up Capture
Up Capture
On days the benchmark rose, how much of that rise the fund captured on average. 1.0 = matched it; >1.0 = beat it.
Formula
Up Capture = avg(fund return on days when benchmark > 0) / avg(benchmark return on the same days)
Intuition
Asks: 'when the market is up, how much of the upside does this fund actually deliver?' 0.95 means the fund typically captured 95% of the benchmark's average up-day return.
What to look for
Higher is better, all else equal. Read alongside down capture — a great fund has up capture > down capture, i.e. it gives you more of the upside than the downside relative to the benchmark.
Caveats
Like beta, only meaningful against a benchmark the fund actually tracks. It is a daily-frequency average — does not directly translate to a multi-year return gap.