I have often written about the importance of downside protection when it comes to mutual fund selection and review. A simple metric that measures this is the downside capture ratio. Here is a listing of downside capture ratio for all mid-cap equity mutual funds.
A batch processor is also included so that you can compile the list whenever you want.
Downside capture refers to the amount of benchmark losses captured by the fund. That is, a fund which has only captured 60% of benchmark losses is considered better than a fund which has captured 80% of losses. This ratio (expressed as a percentage) is known as downside capture.
Lower the downside capture the better. Sometimes, when the benchmark has moved down, the fund may move up. The downside capture would then become negative (as it is a ratio). This is quite normal and a ‘good thing’.
More about the downside capture and also the upside capture can be found in the following posts:
A visual tool: Mutual Fund Downside Protection Consistency Analysis.
The present batch analyzer is an extension of the Mutual Fund Downside Protection Calculator.
Here are a few screenshots.
Download capture ratio data for Mid-cap funds (24th Mar. 2016). This will work in Google Sheets and in Mac Numbers and Mac Excel as well.
Download the capture ratio batch analyzer (requires Win Excel 2007 or above with Macros enabled)
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