Due to the damage from Hurricane Sandy, members of our New York office are not expected to return to our office space on Wall Street until December 15, 2012. All New York staff are working remotely and are available via phone and email. You may also direct inquiries to our Zephyr Cove, NV office 800-789-5323 or 775-588-0654. last updated at 4:39 p.m. Thursday (PDT) 11/08/2012 Reference Materials Contact us Up and Down Capture The up and down capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. To calculate the up capture , we first form new series from the manager and benchmark series by dropping all time periods where the benchmark return is zero or negative. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The down capture is calculated analogously. UpCapture = where n p = number of positive benchmark returns s k = k-th positive benchmark return r i = manager return for the same period as the i-th positive benchmark return y = number of years, counting periods of positive benchmark returns only For the down capture, just use the non-positive returns instead of the positive ones.