Downside Capture Ratio

The Downside Capture Ratio is computed as the ratio of portfolio returns to benchmark returns during periods when the benchmark declines. A ratio below 100 percent indicates that the portfolio or strategy outperformed on the downside by declining less steeply than the benchmark, providing defensive alpha during market stress. In insider-trading and quant-scoring contexts, this metric isolates whether a signal or PDMR activity exhibits resilience during drawdowns, critical for evaluating risk-adjusted edge and signal robustness across market regimes.

When applied to insider activity monitoring and conviction scoring, the Downside Capture Ratio reveals whether concentrated PDMR transactions or suspicious-transaction signals maintain predictive power during market deterioration. Low capture ratios suggest protective signaling value, whereas high ratios may indicate that signals amplify losses in crashes, signaling potential false positives or crowded positioning. Integration with rolling-window volatility and regime-detection metrics enhances signal-quality assessment across bull, neutral, and bear market phases.