An Upside-Down(side) Question.

DlphcOracl

Is there a specific ratio with a recognizable name that measures and quantifies a mutual fund's ability to capture upside as a percentage while protecting against the downside, relative to the S&P 500? If so, is there a convenient place to find this information?

Put another way: if I were searching for a mutual fund that captured 60% of the S&P 500's moves upward and suffered only 50% of the S&P's losses, how and where would I find this fund? I strongly suspect that FPACX is a good example of what I am talking about but is it quantified anywhere and what are other funds with similar upside-downside characteristics??

Art

Maybe V2 ratio.

the V2 Ratio divides the excess return of an investment by the quadratic mean of the relative drawdowns

http://en.wikipedia.org/wiki/V2_ratio

Art

Ted

Dear DlphcOracl: Are you thinking of Beta ?
Regars,
Ted
http://www.morningstar.com/InvGlossary/beta.aspx

davfor

The sortino ratio only penalizes drawdowns.

http://www.investopedia.com/terms/s/sortinoratio.asp#axzz2MKccRyhl

DlphcOracl

Ted:

No, I am not thinking of beta, per se. Beta gives you the volatility, i.e., how magnified its moves are in both directions. What I am looking for is something that compares the beta during bull markets to the beta during bear markets and identifies funds that have a higher better during upside moves relative to their beta during downside moves.

MikeM

Morning Star gives upside downside capture ratios in their 'rating and risk' section. Bring up a fund, hit the rating&risk tab and go to the bottom of the page. It's my favorite thing about the morningstar data.

mrc70

He must be asking about having it in some kinda Mutual fund screener. However, as you said, we can check that data individually for each fund on M*

DlphcOracl

Kudos to MikeM;

That is EXACTLY what I was thinking of and looking for!! The term that was eluding me was "capture ratios" and not only does M* do this for each fund relative to the S&P 500 for 1, 3, 5, and 10-yr periods but it ALSO gives the identical information for a fund's peer group ---- at least, its peer group as M* classifies it.