Capturing Market Returns: Taking an X-Ray of Your Money Manager

10 Pages Posted: 17 May 2013

See all articles by Patrick Beaudan

Patrick Beaudan

Northern Trust Corporation; Emotomy

Date Written: November 1, 2010


Market-capture statistics and histograms are one of the many tools at investors’ disposal to evaluate the risk versus return characteristics of investment opportunities. In this paper, we review how up and down market capture statistics are computed, and discuss using two practical examples how these statistics enables investors to make insightful observations about past investment performance and deduce what may be relevant questions for the future.

Keywords: investment risk, financial statistics, market capture statistics, manager due diligence, quantitative investment analysis

JEL Classification: G11

Suggested Citation

Beaudan, Patrick, Capturing Market Returns: Taking an X-Ray of Your Money Manager (November 1, 2010). Available at SSRN: or

Patrick Beaudan (Contact Author)

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States
415 839 5239 (Phone)

Emotomy ( email )

580 California Street
San Francisco, CA 94104
United States


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