👨💼 My Freelance Financial Modeling Services: ► Need custom financial modeling? Let's collaborate: ryanoconnellfinance.com/hire-me/ 💾 Download Free Excel File: ► Download the file created in this video free here: ryanoconnellfinance.com/product/information-ratio-tracking-error-excel-workbook/
Great summary Ryan for these ratio. If the fund is 'market neutral', so that when the index is down and the fund is still up on average, should the down capture ratio be treated any differently?
Hi @clarknicholls, thanks for the compliment! In a market neutral fund, the down capture ratio is often significantly lower, as the fund aims to remain stable or gain when the index falls. This ratio still provides valuable insight, indicating the fund's effectiveness at mitigating losses compared to the market.
Hey. Great video. Just wondering why some sources calculate the up or down return using 1/n in the exponent where n is the number of periods? You calculated a cumulative return. Would the end ratio be the same?
Ryan, hi! If up capture ratio is greater than down capture ratio, as in the example from this video, does this mean that the portfolio performed better than the SP500 ETF overall? Or there is no such connection between up capture and down capture ratio?
Hi @victoricus1, great question! If the up capture ratio is greater than the down capture ratio, it typically indicates that the portfolio captured more of the gains during market upswings and less of the losses during downturns compared to the S&P 500 ETF. This generally suggests better relative performance, especially in volatile markets. However, whether the portfolio performed better than the S&P 500 ETF overall isn't solely determined by these ratios.
👨💼 My Freelance Financial Modeling Services:
► Need custom financial modeling? Let's collaborate: ryanoconnellfinance.com/hire-me/
💾 Download Free Excel File:
► Download the file created in this video free here: ryanoconnellfinance.com/product/information-ratio-tracking-error-excel-workbook/
Really appreciate the clarity of your videos. Thanks for putting up this content
It is my pleasure and I'm glad you're getting value out of them!
these are so helpful, thanks a ton Ryan!!
My pleasure, thank you!
Great video! Any chance there will be a video showing how to do this in Python? Thanks!
Great summary Ryan for these ratio. If the fund is 'market neutral', so that when the index is down and the fund is still up on average, should the down capture ratio be treated any differently?
Hi @clarknicholls, thanks for the compliment! In a market neutral fund, the down capture ratio is often significantly lower, as the fund aims to remain stable or gain when the index falls. This ratio still provides valuable insight, indicating the fund's effectiveness at mitigating losses compared to the market.
Hey. Great video. Just wondering why some sources calculate the up or down return using 1/n in the exponent where n is the number of periods? You calculated a cumulative return. Would the end ratio be the same?
Ryan, hi! If up capture ratio is greater than down capture ratio, as in the example from this video, does this mean that the portfolio performed better than the SP500 ETF overall? Or there is no such connection between up capture and down capture ratio?
Hi @victoricus1, great question! If the up capture ratio is greater than the down capture ratio, it typically indicates that the portfolio captured more of the gains during market upswings and less of the losses during downturns compared to the S&P 500 ETF. This generally suggests better relative performance, especially in volatile markets.
However, whether the portfolio performed better than the S&P 500 ETF overall isn't solely determined by these ratios.
What if I have the monthly returns instead of daily returns? What will be the formula?
thank you for this, ive managed to use this methodology to calculate sortino ratio. you dont cover that in any videos though, do you not like it?