A downside capture ratio less than 100 indicates the strategy lost less than the index in negative monthly return periods. (americanfunds.com)
The up - market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. (putnam.com)
A downside capture ratio less than 0 indicates that a fund produced positive returns during down markets. (renaissanceinvestments.ca)