[amibroker] Capture Ratio

["Ken Close" <ken45140@xxxxxxxxx>]

 Has anyone ever put together some code to calculate a fund's capture ratio.

 

How would one go about doing that?

 

From one definition I have found:

 

"To calculate the up capture ration, we first isolate all monthly returns for a fund and its benchmark during the periods then the benchmark had a positive return. We then calculate annualized returns for both the fund and the benchmark using this isolated data.  Next, we divide the up return of the fund by the up return of the benchmark to obtain the fund's up capture ratio. The down capture ratio is calculated similarly, except instead of isolating the monthly returns during the periods where the benchmark had a positive return, we isolate the monthly returns during the periods when the benchmark had a negative return."

 

Any suggestions?

 

Thanks,

 

Ken

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