Capture Ratio as a Tool to Measure Investment Performance
We examine the concepts of up-capture and down-capture, two widely used statistics for measuring investment performance. Our research indicates that each one on their own is an ineffective tool to accurately describe investment performance. However, the use of the Capture Ratio, the relationship between up-capture and down-capture, provides a much more useful tool.
Showing posts with label Sharpe ratio. Show all posts
Showing posts with label Sharpe ratio. Show all posts
Monday, March 1, 2010
Subscribe to:
Posts (Atom)