Comments on: Sortino and the Capture Ratios

By: Karthik Rangappa

Karthik Rangappa — Mon, 13 Jan 2025 04:04:52 +0000

In reply to Prashant. 1) Funds tracking index do. Index does not. 2) Ah no, capture ratios is an indicator of risk, not returns.

By: Prashant

Prashant — Sun, 12 Jan 2025 17:18:36 +0000

I see these numbers on Morningstar for a Quant Small Cap mutual fund-growth option.
Upside capture ratios:
Investment:96
Category:81
Index:66

Downside capture ratio:
Investment:86
Category:67
Index:11

On this data, I have questions:
1) How come an index have an upside or downside capture ratio, what can be its benchmark index? – NIfty 50 or broader small cap index like nifty smallcap 250?

2) if small cap index moves UP by 66% then investment moves UP by 96%, is this interpretation correct?

By: Karthik Rangappa

Karthik Rangappa — Fri, 13 Dec 2024 04:30:27 +0000

In reply to Sanjay. Well, the investor wants higher NAVs (after making an investment), so its good right :)

By: Sanjay

Sanjay — Thu, 12 Dec 2024 20:05:27 +0000

If MF is reinvesting the gains to increase the NAV is it good for investors or bad?

By: Karthik Rangappa

Karthik Rangappa — Mon, 05 Aug 2024 04:45:05 +0000

In reply to Chandrakant. Please do check the factsheet of the mutual fund scheme.

By: Chandrakant

Chandrakant — Sun, 04 Aug 2024 07:02:46 +0000

Where to get Sortino Ration and Sharpe ratio of particular mutual funds? any website?

By: Karthik Rangappa

Karthik Rangappa — Sat, 03 Aug 2024 03:58:32 +0000

In reply to Prashanth K R. Thats right, consistency matters Prashanth and that's what you need to look at.

By: Prashanth K R

Prashanth K R — Fri, 02 Aug 2024 13:48:30 +0000

Hi karthik Sir,
Please say is this understanding right?
If the upside is more (positive returns) then the downside will also be more (negative returns). But we have to consider only the consistency.
This means the range between the either the upside or the downside should be within the closer value bound. ie,.. Upside – 90, 110, 70 (not good because of more fluctuation)
downside – 95, 98, 103 (is good because of less fluctuation).
Please correct me if i am wrong…..

By: Karthik Rangappa

Karthik Rangappa — Tue, 09 Jul 2024 04:26:33 +0000

In reply to Anupam. Thats right, one cant expect alpha from index fund, and its -ve because of the tracking error.

By: Anupam

Anupam — Mon, 08 Jul 2024 06:59:11 +0000

Great content Mr. Karthik. I had a question, i see alpha of all Nifty 50 Index funds as negative (around – 1.5 for all), i understand Index funds will not generate excess returns, but why is it negative? Is it to account for expense ratios? Thanks much in advance.

By: Karthik Rangappa

Karthik Rangappa — Mon, 26 Feb 2024 03:38:15 +0000

In reply to Kapil Kalra. Kapil, yes, as a thumbrule, consistency in stock markets is always better instead of short duration impressive numbers.

By: Kapil Kalra

Kapil Kalra — Sun, 25 Feb 2024 05:26:40 +0000

You mentioned:
If you look at HDFC Top 100, Regular Growth fund, the downside capture ratio on 3, 5, and 10 years are 120, 119, and 111 respectively. I like the consistency in risk management here, and I’d value this far higher than the upside capture ratio.

But lets say a fund’s downside capture ratio is 44, 91 and 73. Is that bad compared to HDFC Top 100? As in is consistency better than having a lower downside capture ratio?

By: Karthik Rangappa

Karthik Rangappa — Fri, 23 Feb 2024 07:46:28 +0000

In reply to Chirag. It means the category of the fund, like large cap, small cap etc.

By: Chirag

Chirag — Wed, 21 Feb 2024 18:37:56 +0000

Sir, in the capture ratio table what does the column ‘category’ means? Like in Parag Parikh Long term equity fund it is written 90 for upside and 96 for downside

By: Karthik Rangappa

Karthik Rangappa — Sat, 28 Oct 2023 07:27:00 +0000

In reply to Sid. There is a slight difference in both the ratios. Beta gives you the measure on an average basis what is the likelihood of the underlying moving as per the market. Capture ratio gives you a sense of how many of the up days and down days were captured by the underlying.