trading - capture ratio
A manager whose relative performance is worse during market downturns most likely has a capture ratio that is:
A less than one.
B equal to one.
C greater than one.
THe answer is: less than one, because downside capture is greater than upside capture.
I would say this question is INCOMPLETE. Underperforming during a market downturn (=falling more than the benchmark) means you have a downside capture greater than 1 (or 100%).
However, in order to asess the capture ratio, you need to know how the manager performs in the upside scenario as well.
What do you think?
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