Upside Capture Ratio compares a portfolio's performance to its benchmark specifically in periods when the benchmark is positive. A value of 100% indicates the portfolio captured the same portion of upside as the benchmark; above 100% means it captured more; below 100% means it captured less.
The ratio is typically computed over a chosen horizon using period returns. The numerator sums the portfolio's returns in all periods where the benchmark return is positive; the denominator sums the benchmark's positive returns in those same periods. The result is multiplied by 100 to express a percentage.
Investors and analysts use the upside capture ratio to gauge how a portfolio participates in up-market moves relative to the benchmark. It is often examined alongside the downside capture ratio to understand performance across market cycles. A high UCR suggests stronger participation in rising markets; a low UCR suggests more muted participation. The metric is useful for performance attribution but does not alone reveal risk or costs.
UCR depends on the selected benchmark, time period, and return method (e.g., simple versus log returns). It should be interpreted in conjunction with other metrics such as the downside capture ratio, beta, and attribution analysis. Historical upside capture does not guarantee future results.
Over the 5-year period, the portfolio had an upside capture ratio of 110%, meaning it captured 10% more of the benchmark's gains when the market rose.
Downside Capture Ratio · Benchmark · Performance Attribution · Beta · Alpha · Sharpe Ratio