Glossary· Benchmark-relative
What is Upside capture?
The share of the index's gains the fund captured in months the index rose. 100 = matched it.
Above 100 means it beat the index on the way up. Read it alongside downside capture — capturing 110% of the upside is worth little if it also takes 120% of the falls.
For the formula and the constants behind this figure, see Methodology.
More on benchmark-relative
How the fund behaved against its index. All computed from 36 monthly returns, so a fund needs about three years of history to show any of them.
- Alpha
- Annualized return above what the fund's market exposure alone would predict.
- Beta
- How hard the fund moves when the index moves. 1 = in step.
- R²
- How much of the fund's movement the benchmark explains, 0–100%.
- Treynor ratio
- Excess return per unit of beta rather than per unit of total volatility.
- Information ratio
- Return above the benchmark, per unit of tracking error.
- Tracking error
- How far the fund's returns typically stray from the benchmark's, annualized.
- Downside capture
- The share of the index's losses the fund took in months the index fell. Lower is better.