Up-Market Capture Ratio

A statistical measure of an investment manager's performance in bull markets relative to a benchmark index.

The up-market capture ratio is a statistical measure used to evaluate how well an investment manager or fund performed relative to a benchmark index during periods when that benchmark was rising. Expressed as a percentage, it helps investors determine whether an active manager is successfully capturing market gains during positive cycles. To calculate this ratio, you isolate the periods (such as months or quarters) where the benchmark index posted a positive return. You then divide the fund's compound return during those specific positive periods by the benchmark's compound return over the same timeframe. A ratio of 100% indicates the fund matched the benchmark's positive performance exactly. Investors use this metric to evaluate active management fees and strategy alignment. A ratio greater than 100% means the fund outperformed the index during up markets, which is highly desirable for aggressive or growth-oriented strategies. Conversely, a ratio below 100% means the fund lagged behind the rising market. When analyzing this metric, investors should look at it alongside its counterpart, the down-market capture ratio, to get a complete picture of a manager's risk-adjusted performance across full market cycles.

Over a multi-year evaluation period, a benchmark index has 12 positive quarters. Compounding the returns of only those 12 quarters shows the benchmark gained 20%. During those same 12 quarters, an active mutual fund gained 22%. The up-market capture ratio is calculated as: (22 / 20) 100 = 110%. This means the fund captured 110% of the benchmark's upside.