Capturing Market Returns: Taking an X-Ray of Your Money Manager
10 Pages Posted: 17 May 2013
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: Suggested Citation