Information & Up/Down Capture Ratios

How a scheme performs relative to its benchmark — measured for consistency and for behaviour in rising vs. falling markets.

Scope & inputs (applies to all three)

•  We calculate these ratios only for schemes whose launch date is older than 3 years, since each ratio needs 36 monthly observations.

•   Each scheme is measured against its own corresponding benchmark

•   All returns are calendar-month returns, computed month-end to month-end (NAV at the close of one month to the close of the next).

1. Information Ratio (IR)

What it is: A measure of risk-adjusted outperformance — the extra return the fund delivers for every unit of risk it takes in deviating from its benchmark. The higher the better.

How it's calculated:

•   Each month: Active Return = Fund return − Benchmark return.

•   Mean Active Return = average of the 36 active returns.

•   Tracking Error = standard deviation of those active returns — how volatile the outperformance is.

•   Information Ratio = Mean Active Return ÷ Tracking Error.

To annualize: multiply the mean by 12 and the tracking error by √12. The annualized IR is the headline figure normally quoted.

For detailed calculation, Please refer to the sample sheet : Ratios

2. Up Capture & Down Capture

What they are: They split the benchmark's history into up months (benchmark return > 0) and down months (benchmark return < 0), and measure how much of that movement the fund captured in each.

What they denote:

•   Up Capture > 100% → the fund rose more than the benchmark in rising markets (good).

•   Down Capture < 100% → the fund fell less than the benchmark in falling markets (good).

How they're calculated:

•   Up/down months are defined only by the benchmark, and the same set of months is used for both the fund and the benchmark.

•   Up Capture = avg fund return in up months ÷ avg benchmark return in up months.

•   Down Capture = avg fund return in down months ÷ avg benchmark return in down months.

For detailed calculation, Please refer to the sample sheet: Ratios