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:

\[\text{Downside Capture Ratio} = \text{Average Return in Down Periods} / \text{Average Benchmark Return in Down Periods}\]

No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the Downside Capture Ratio for you. Just ask in plain English.

Calculate the Downside Capture Ratio in Python

The Downside Capture Ratio is available in 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 initialised 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.
Sterling Ratio Burke Ratio M2 Ratio Tracking Error Information Ratio Upside Capture Ratio Win Rate Kappa Ratio Omega Ratio Gain-to-Pain Ratio Compound Growth Rate Returns

The Performance module page introduces the module, and the sidebar lists all of its functions.

Share