Downside Capture Ratio
Calculate the Downside Capture Ratio of an investment portfolio or asset’s returns.
The Downside Capture Ratio measures how well an investment portfolio or asset performs relative to a benchmark during periods in which the benchmark’s return is negative. A ratio below 1 (or 100%) indicates the asset lost less than the benchmark during those periods.
The formula is as follows:
\[\text{Downside Capture Ratio} = \text{Average Return in Down Periods} / \text{Average Benchmark Return in Down Periods}\]Downside Capture Ratio in Python
get_downside_capture_ratio is part of the Performance module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_downside_capture_ratio as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AAPL", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.performance.get_downside_capture_ratio()
Which returns:
| Date | AAPL | TSLA |
|---|---|---|
| 2021 | 1.4016 | 2.0639 |
| 2022 | 1.3043 | 2.0238 |
| 2023 | 0.9486 | 1.8386 |
| 2024 | 1.0337 | 2.4414 |
| 2025 | 1.0842 | 2.2603 |
| 2026 | 0.5691 | 2.2236 |
Parameters
get_downside_capture_ratio accepts the following parameters:
- period (str, optional): The period to use for the calculation. Defaults to “quarterly” if the Toolkit is initialized with quarterly=True, otherwise “yearly”.
- rounding (int, optional): The number of decimals to round the results to. Defaults to 4.
- growth (bool, optional): Whether to calculate the growth of the ratios. Defaults to False.
- lag (int | str, optional): The lag to use for the growth calculation. Defaults to 1.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False.