Downside capture ratio in mutual funds

Tue, 12 May 2026 00:00:00 +0000

The downside capture ratio measures how much of a benchmark index’s negative return a mutual fund captures when the benchmark posts a loss. It is computed as the ratio of the fund’s average return during periods when the benchmark is negative, to the benchmark’s average return during those same periods, expressed as a percentage. A ratio below 100 means the fund falls less than the benchmark in down periods, an indicator of downside protection.

Maximum drawdown in mutual funds

Tue, 12 May 2026 00:00:00 +0000

Maximum drawdown (MDD) is the maximum observed loss from a peak NAV to a subsequent trough NAV, before a new peak is achieved, over a specified period. It represents the worst-case scenario for an investor who happened to invest at the highest point and exited at the lowest point in the measurement window. Maximum drawdown is expressed as a negative percentage and is one of the most intuitive and investor-relevant risk metrics, unlike standard deviation, it directly answers the question: “What is the worst I could have lost?”

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Downside capture ratio in mutual funds

Maximum drawdown in mutual funds