Description
FACT SHEET
BARROW
VALUE OPPORTUNITY FUND
FUNDS
Value Principles
l
Private Equity Perspective
Barrow Value
Opportunity Fund
(BALIX)
December 31, 2016
Objective
Barrow Value
Opportunity disciplined investment in high-quality, undervalued companies has the
Fund
Barrow believes that
The Barrow Value Opportunity Fund is a U.S. all-cap equity strategy that seeks to generate
long-term capital appreciation.
potential to generate above-average returns with below-average risk.
Strategy
Value Broad Market Funds
Category as of 12/31/16
% Ranking Based on Total Return
Since Inception
5 year
3 year
1 year
Top 16%
Top 38%
Top 74%
Top 86%
For the since inception, 5-year, 3-year and
1-year, periods ended December 31, 2016 the
Fund’s Institutional Class of shares performance,
including performance for those periods prior to
its reorganization into the Fund, placed it 55
(16th percentile) out of 353 Value Broad Market
Funds, 157 (38th percentile) out of 423 Value
Broad Market Funds, 369 (74th percentile)
out of 503 Value Broad Market Funds and
490 (86th percentile) out of 571 Value Broad
Market Funds, respectively. Past performance
does not guarantee future results.
Leadership
Nicholas Chermayeff
Principal
26 years of industry experience
BA Harvard College
TheValue Broad Market Funds
Barrow team uses a private equity perspective to assess that seek to exhibit both quality
and appraise value.of 9/30/16
Category as The Fund invests in a diversified portfolio of companies that exhibit both:
% Ranking Based on Total Return
High-quality characteristics - including high returns on capital, low leverage, growth, and wide
operating margins.
Compelling valuation - considered by Barrow to be priced well below intrinsic value based on
Since Inception Top 9%
unleveraged enterprise value.
5 year
Top 2%
3 year
Top 10%
Performance (As of December 31, 2016)*
1 year
Top 4%
Average Annualized Total Returns
YTD
1 Year
3 Year
5 Year
For the since inception, 5-year, 3-year and
Barrow Value Opportunity Fund
7.41%
7.41%
4.41%
13.07%
1-year, periods ended September 30, 2015 the
S&P 500 Index
11.96
11.96
8.87
14.66
Fund’s Institutional Class of shares performance,
including performance 1.16%; Gross Expense Ratio: 1.60%
**Net Expense Ratio: for those periods prior
to its reorganization into the Fund, placed it
32 (9th percentile) out of 383 Value Broad
Market Funds, 5 (2nd percentile) out of 421
Value Broad Market Funds, 44 (10th percentile)
Calendar Year Total Returns
out of 484 Value Broad Market Funds and 21
2009
2011
2012
2013
2014
(4th percentile) out of 574 Value Broad Market 2010
Funds, Value Opportunity Fund does not
Barrowrespectively. Past performance30.10% 18.75% 5.50% 18.77% 36.69% 5.13%
guarantee future results.
S&P 500 Index
26.46
15.06
2.11
16.00
32.39
13.69
Since Inception*
14.78%
14.45
2015
2016
0.81% 7.41%
1.38
11.96
Hypothetical Growth of $10,000 (Since Inception 12/31/08 through 12/31/16)
$35,000
Barrow Value Opportunity Fund $30,125
30,000
S&P 500 Index $29,445
25,000
20,000
15,000
10,000
5,000
Robert F.
Greenhill, Jr. Principal 27 years of industry experience BA Harvard College MBA Harvard Business School David R. Bechtel Principal 27 years of industry experience BA Yale University JD Stanford Law School For More Information: 877-767-6633 barrowfunds.com 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 *12/31/08. Performance data quoted represents past performance; past performance does not guarantee future results.
All investments involve risk of loss, including the possible loss of all principal invested. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed may be worth less than the original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end is available by calling 877-767-6633.
All performance figures are net fees. See page 3 below for additional information The returns of the Fund shown for periods prior to its inception date are the returns of the predecessor, the Barrow Street Fund LP, an unregistered limited partnership managed by the portfolio managers of the Barrow Value Opportunity Fund (the “Predecessor Private Fund”). The Predecessor Private Fund was reorganized into Institutional Class shares on August 30, 2013 the date that the Value Opportunity Fund commenced operations.
The Value Opportunity Fund has been managed in the same style with the same strategy and by the same portfolio managers since the Predecessor Private Fund’s inception on December 31, 2008. Please see page 3 for additional Important Information including the definitions of indices. **Barrow Street Advisors LLC (the “Adviser”) has contractually agreed, until October 1, 2017, to waive Management Fees and reimburse Other Expenses to the extent necessary to limit total annual fund operating expenses to an amount not exceeding 1.15% shares of average daily net assets. Management Fee waivers and expense reimbursements by the Adviser are subject to repayment by the Value Opportunity Fund for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause Total Annual Fund Operating Expenses to exceed the foregoing expense limitations.
Prior to October 1, 2017 this agreement may not be modified or terminated without the approval of the Board of Trustees. This agreement will terminate automatically if the Value Opportunity Fund’s investment advisory agreement with the Adviser is terminated. . BARROW VALUE OPPORTUNITY FUND FUNDS Value Principles l December 31, 2016 Private Equity Perspective Portfolio Positioning Operating and Valuation Metrics (As of December 31, 2016) Barrow Value Opportunity Fund All-Cap Index* The Fund seeks to provide investors with outperformance versus broad equity market indices with a below-average risk profile. Percent Ratio Operating Metrics Return on Equity 28.7% 6.7% 427% Return on Assets 11.3% 1.6% 724% Leverage Ratio 17.9% 32.5% 55% Operating Margins 19.7% 8.0% 246% Ticker / CUSIP Y/Y Sales Growth 4.8% 2.2% 223% Minimum Investment Valuation Metrics 10.5x 16.1x PE Ratio 19.6x 31.4x 2.3% 12M Dividend Yield Wtd. Avg. Market Cap ($B) BALIX / 90386H602 $2,500 Fund Inception EBITDA Multiple 30-day SEC Yield Fund Facts 12/31/08 66% 62% 1.7% 132% Before Waivers: 0.19% After Waivers: 0.66% Historical M&A Experience (As of December 31, 2016) $14.0 $15.0 188 961 Companies 4 * verage of three indices: S&P 500, S&P Mid 400 and Russell 2000. For each portfolio attribute shown (for A example, Return on Assets), the Advisor defines the All Cap Index as the average of that attribute’s value as reported by Bloomberg for each of the S&P 500, the S&P 400, and the Russell 2000 indices, with each receiving an equal weight.
Past performance does not guarantee future results. See the Important Information section below for further information. 3 2 1 Sector Allocation (As of December 31, 2016) 0 Market Cap Allocation 3.5x 1.0x (As of December 31, 2016) Consumer Staples 19.5% Consumer Discretionary 19.4% % of Portfolio Health Care 19.3% Weighted Avg. Market Cap ($B) Information Technology 13.4% Large Cap 19.8% Materials 12.1% Mid Cap 38.2 $55.8 6.2 Industrials 9.5% Small Cap 42.0 Market Barrow Value Opportunity Fund Fund M&A experience is calculated by dividing the percentage of the Fund’s portfolio that consists of companies that have been subject to acquisition, divided by the percentage of companies in the equity market subject to acquisition. Past performance does not guarantee future results. 1.3 Energy 6.7% Fund Quarterly Takeouts (As of December 31, 2016) Top Ten Holdings Target (As of December 31, 2016) Holding % of Equity Holding % of Equity LyondellBasell 1.93% Chemed Corp. 1.25% InterDigital Inc. 1.55 Western Union Co. 1.19 Greenbrier Companies Inc. 1.48 Vector Group Ltd. 1.18 Omnicom Group 1.43 Anika Therapeutics Inc. 1.16 Quest Diagnostics Inc. 1.26 Globus Medical Inc. 1.15 Total 13.56% Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Neustar Inc. Western Refining Acquirer Announce Date Golden Gate Capital 12/14/16 Tesoro Corp. 11/17/16 SciClone GL Capital and Pharmaceuticals ABG Management 11/14/16 Brocade Broadcom LTD. Communications 10/31/16 Time Warner Inc. AT&T 10/22/16 British American Tobacco 10/21/16 Reynolds American Participation in a Fund with M&A activity does not guarantee positive returns for the Fund.
Past performance does not guarantee future results. . BARROW VALUE OPPORTUNITY FUND FUNDS Value Principles l December 31, 2016 Private Equity Perspective Volatility Summary (From 12/31/08 - 12/31/16) Downside Deviation Sortino Ratio Standard Deviation Sharpe Ratio Barrow Value Opportunity Fund 8.15% 1.82 14.21% 1.05 S&P 500 Index 8.32 1.75 14.12 1.03 Note: The Portfolio Managers believe that Downside Deviation (“DD”) and Sortino Ratio (Return/DD) are more relevant measures of volatility than Standard Deviation “SD” and Sharpe Ratio (Return/SD). While Standard Deviation measures all volatility, including upside or “good” volatility, Downside Deviation only measures downside or “bad” volatility. See the Important Information section below for further information. Capture Ratio (From 12/31/08 - 12/31/16) Value Opportunity Fund vs. S&P 500 Index Upside Capture Downside Capture Capture Ratio 99.3 96.5 103.0 Important Information Mutual fund investing involves risk. Principal loss is possible.
The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the Fund and may be obtained by calling 1-877-767-6633. Read it carefully before investing.
Distributed by Ultimus Fund Distributors LLC. This fact sheet is for educational purposes only and should not constitute investment advice. The Value Opportunity Fund’s investment goals, policies, guidelines and restrictions are, in all material respects, equivalent to the Predecessor Private Fund’s investment goals, policies, guidelines and restrictions. The information shows the Predecessor Private Fund’s annual returns and long-term performance reflecting the actual fees and expenses that were charged when the Value Opportunity Fund was a limited partnership.
The prior performance is net of management fees and other expenses but does not include the effect of the performance fee which was in place until October 7 2012. From its inception on December 31 2008 through the date of this prospectus the Predecessor Private Fund was not subject to certain investment restrictions, diversification requirements and other restrictions of the Investment Company Act of 1940 as amended (the “1940 Act”) or Subchapter M of the Internal Revenue Code of 1986 as amended, which, if they had been applicable, might have adversely affected the Value Opportunity Fund’s performance. The information below provides some indications of the risks of investing in the Value Opportunity Fund. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end is available by calling 1-877-767-6633. The Fund invests in small and mid cap companies, which involves additional risks such as limited liquidity and greater volatility. Market indices are included only to provide an overview of wider financial markets and should not be viewed as benchmarks or direct comparable of the Fund. The S&P 500 Index is an unmanaged index of equity prices and is representative of a broader market and range of securities than is found in the Fund’s portfolio.
The S&P 400 Index, is a stock market index from S&P Dow Jones Indices. The index serves as a barometer for the U.S. mid-cap equities sector and is the most widely followed mid-cap index.
The Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index. Investors cannot invest directly in an index. Return on Equity is the amount of net income returned as a percentage of shareholders equity.
Return on equity measures a corporation’s profitability by revealing how much profit a company generates with the money shareholders have invested. Return on Assets is an indicator of how profitable a company is relative to its total assets. Calculated by dividing a company’s annual earnings by its total assets.
Leverage Ratio is used to calculate the financial leverage of a company to get an idea of the company’s methods of financing or to measure its ability to meet financial obligations. Operating Margin is a measurement of what proportion of a company’s revenue is left over after paying for variable costs of production such as wages, raw materials, etc. Y/Y Sales Growth is a method of evaluating sales growth from the most recent 12 month period over the prior 12 month period.
EBITDA Multiple is a valuation measure that divides a company’s current enterprise value by its trailing 12 month EBITDA. PE Ratio (price earnings ratio) is a valuation ratio of a company’s current share price compared to its per-share earnings. Barrow Funds reports a “trailing PE Ratio” by taking the current share price and dividing by the total EPS over the past 12 months and caps the ratio limit at 100x.
12M Dividend Yield is a financial ratio that shows how much a company has paid out in dividends over the prior year relative to its share price. 30-Day SEC Yield is the fund’s income, for the purposes of this calculation, based on the current market yield to maturity of the Fund’s holdings over a trailing 30-day period. This hypothetical income will differ (at times, significantly) from the Fund’s actual experience; as a result, income distributions from the fund may be higher or lower than implied by the SEC yield. Downside Deviation is a measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return. Sortino Ratio differentiates harmful volatility from volatility in general by using a value for downside deviation. The Sortino Ratio is the excess return over the risk-free rate divided by the downside semivariance and so it measures the return to “bad” volatility.
Standard Deviation shows the degree of variation in the Fund’s returns and can serve as a useful measure of the Fund’s volatility. It is measured using monthly observations but expresses the result on an annualized basis. Sharpe Ratio is a statistical measure that uses standard deviation and excess return to determine reward per unit of volatility.
A higher Sharpe Ratio implies a better historical volatility performance. Upside and Downside Capture Ratios show you whether a given fund has outperformed—gained more or lost less than a broad market benchmark during periods of market strength and weakness and if so, by how much. Upside capture ratios for funds are calculated by taking the fund’s monthly return during months when the benchmark had a positive return and dividing it by the benchmark return during that same month. Downside capture ratios are calculated by taking the fund’s monthly return during the periods of negative benchmark performance and dividing it by the benchmark return.
Capture Ratio is the upside capture divided by the downside capture. .
Greenhill, Jr. Principal 27 years of industry experience BA Harvard College MBA Harvard Business School David R. Bechtel Principal 27 years of industry experience BA Yale University JD Stanford Law School For More Information: 877-767-6633 barrowfunds.com 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 *12/31/08. Performance data quoted represents past performance; past performance does not guarantee future results.
All investments involve risk of loss, including the possible loss of all principal invested. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed may be worth less than the original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end is available by calling 877-767-6633.
All performance figures are net fees. See page 3 below for additional information The returns of the Fund shown for periods prior to its inception date are the returns of the predecessor, the Barrow Street Fund LP, an unregistered limited partnership managed by the portfolio managers of the Barrow Value Opportunity Fund (the “Predecessor Private Fund”). The Predecessor Private Fund was reorganized into Institutional Class shares on August 30, 2013 the date that the Value Opportunity Fund commenced operations.
The Value Opportunity Fund has been managed in the same style with the same strategy and by the same portfolio managers since the Predecessor Private Fund’s inception on December 31, 2008. Please see page 3 for additional Important Information including the definitions of indices. **Barrow Street Advisors LLC (the “Adviser”) has contractually agreed, until October 1, 2017, to waive Management Fees and reimburse Other Expenses to the extent necessary to limit total annual fund operating expenses to an amount not exceeding 1.15% shares of average daily net assets. Management Fee waivers and expense reimbursements by the Adviser are subject to repayment by the Value Opportunity Fund for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause Total Annual Fund Operating Expenses to exceed the foregoing expense limitations.
Prior to October 1, 2017 this agreement may not be modified or terminated without the approval of the Board of Trustees. This agreement will terminate automatically if the Value Opportunity Fund’s investment advisory agreement with the Adviser is terminated. . BARROW VALUE OPPORTUNITY FUND FUNDS Value Principles l December 31, 2016 Private Equity Perspective Portfolio Positioning Operating and Valuation Metrics (As of December 31, 2016) Barrow Value Opportunity Fund All-Cap Index* The Fund seeks to provide investors with outperformance versus broad equity market indices with a below-average risk profile. Percent Ratio Operating Metrics Return on Equity 28.7% 6.7% 427% Return on Assets 11.3% 1.6% 724% Leverage Ratio 17.9% 32.5% 55% Operating Margins 19.7% 8.0% 246% Ticker / CUSIP Y/Y Sales Growth 4.8% 2.2% 223% Minimum Investment Valuation Metrics 10.5x 16.1x PE Ratio 19.6x 31.4x 2.3% 12M Dividend Yield Wtd. Avg. Market Cap ($B) BALIX / 90386H602 $2,500 Fund Inception EBITDA Multiple 30-day SEC Yield Fund Facts 12/31/08 66% 62% 1.7% 132% Before Waivers: 0.19% After Waivers: 0.66% Historical M&A Experience (As of December 31, 2016) $14.0 $15.0 188 961 Companies 4 * verage of three indices: S&P 500, S&P Mid 400 and Russell 2000. For each portfolio attribute shown (for A example, Return on Assets), the Advisor defines the All Cap Index as the average of that attribute’s value as reported by Bloomberg for each of the S&P 500, the S&P 400, and the Russell 2000 indices, with each receiving an equal weight.
Past performance does not guarantee future results. See the Important Information section below for further information. 3 2 1 Sector Allocation (As of December 31, 2016) 0 Market Cap Allocation 3.5x 1.0x (As of December 31, 2016) Consumer Staples 19.5% Consumer Discretionary 19.4% % of Portfolio Health Care 19.3% Weighted Avg. Market Cap ($B) Information Technology 13.4% Large Cap 19.8% Materials 12.1% Mid Cap 38.2 $55.8 6.2 Industrials 9.5% Small Cap 42.0 Market Barrow Value Opportunity Fund Fund M&A experience is calculated by dividing the percentage of the Fund’s portfolio that consists of companies that have been subject to acquisition, divided by the percentage of companies in the equity market subject to acquisition. Past performance does not guarantee future results. 1.3 Energy 6.7% Fund Quarterly Takeouts (As of December 31, 2016) Top Ten Holdings Target (As of December 31, 2016) Holding % of Equity Holding % of Equity LyondellBasell 1.93% Chemed Corp. 1.25% InterDigital Inc. 1.55 Western Union Co. 1.19 Greenbrier Companies Inc. 1.48 Vector Group Ltd. 1.18 Omnicom Group 1.43 Anika Therapeutics Inc. 1.16 Quest Diagnostics Inc. 1.26 Globus Medical Inc. 1.15 Total 13.56% Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Neustar Inc. Western Refining Acquirer Announce Date Golden Gate Capital 12/14/16 Tesoro Corp. 11/17/16 SciClone GL Capital and Pharmaceuticals ABG Management 11/14/16 Brocade Broadcom LTD. Communications 10/31/16 Time Warner Inc. AT&T 10/22/16 British American Tobacco 10/21/16 Reynolds American Participation in a Fund with M&A activity does not guarantee positive returns for the Fund.
Past performance does not guarantee future results. . BARROW VALUE OPPORTUNITY FUND FUNDS Value Principles l December 31, 2016 Private Equity Perspective Volatility Summary (From 12/31/08 - 12/31/16) Downside Deviation Sortino Ratio Standard Deviation Sharpe Ratio Barrow Value Opportunity Fund 8.15% 1.82 14.21% 1.05 S&P 500 Index 8.32 1.75 14.12 1.03 Note: The Portfolio Managers believe that Downside Deviation (“DD”) and Sortino Ratio (Return/DD) are more relevant measures of volatility than Standard Deviation “SD” and Sharpe Ratio (Return/SD). While Standard Deviation measures all volatility, including upside or “good” volatility, Downside Deviation only measures downside or “bad” volatility. See the Important Information section below for further information. Capture Ratio (From 12/31/08 - 12/31/16) Value Opportunity Fund vs. S&P 500 Index Upside Capture Downside Capture Capture Ratio 99.3 96.5 103.0 Important Information Mutual fund investing involves risk. Principal loss is possible.
The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the Fund and may be obtained by calling 1-877-767-6633. Read it carefully before investing.
Distributed by Ultimus Fund Distributors LLC. This fact sheet is for educational purposes only and should not constitute investment advice. The Value Opportunity Fund’s investment goals, policies, guidelines and restrictions are, in all material respects, equivalent to the Predecessor Private Fund’s investment goals, policies, guidelines and restrictions. The information shows the Predecessor Private Fund’s annual returns and long-term performance reflecting the actual fees and expenses that were charged when the Value Opportunity Fund was a limited partnership.
The prior performance is net of management fees and other expenses but does not include the effect of the performance fee which was in place until October 7 2012. From its inception on December 31 2008 through the date of this prospectus the Predecessor Private Fund was not subject to certain investment restrictions, diversification requirements and other restrictions of the Investment Company Act of 1940 as amended (the “1940 Act”) or Subchapter M of the Internal Revenue Code of 1986 as amended, which, if they had been applicable, might have adversely affected the Value Opportunity Fund’s performance. The information below provides some indications of the risks of investing in the Value Opportunity Fund. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end is available by calling 1-877-767-6633. The Fund invests in small and mid cap companies, which involves additional risks such as limited liquidity and greater volatility. Market indices are included only to provide an overview of wider financial markets and should not be viewed as benchmarks or direct comparable of the Fund. The S&P 500 Index is an unmanaged index of equity prices and is representative of a broader market and range of securities than is found in the Fund’s portfolio.
The S&P 400 Index, is a stock market index from S&P Dow Jones Indices. The index serves as a barometer for the U.S. mid-cap equities sector and is the most widely followed mid-cap index.
The Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index. Investors cannot invest directly in an index. Return on Equity is the amount of net income returned as a percentage of shareholders equity.
Return on equity measures a corporation’s profitability by revealing how much profit a company generates with the money shareholders have invested. Return on Assets is an indicator of how profitable a company is relative to its total assets. Calculated by dividing a company’s annual earnings by its total assets.
Leverage Ratio is used to calculate the financial leverage of a company to get an idea of the company’s methods of financing or to measure its ability to meet financial obligations. Operating Margin is a measurement of what proportion of a company’s revenue is left over after paying for variable costs of production such as wages, raw materials, etc. Y/Y Sales Growth is a method of evaluating sales growth from the most recent 12 month period over the prior 12 month period.
EBITDA Multiple is a valuation measure that divides a company’s current enterprise value by its trailing 12 month EBITDA. PE Ratio (price earnings ratio) is a valuation ratio of a company’s current share price compared to its per-share earnings. Barrow Funds reports a “trailing PE Ratio” by taking the current share price and dividing by the total EPS over the past 12 months and caps the ratio limit at 100x.
12M Dividend Yield is a financial ratio that shows how much a company has paid out in dividends over the prior year relative to its share price. 30-Day SEC Yield is the fund’s income, for the purposes of this calculation, based on the current market yield to maturity of the Fund’s holdings over a trailing 30-day period. This hypothetical income will differ (at times, significantly) from the Fund’s actual experience; as a result, income distributions from the fund may be higher or lower than implied by the SEC yield. Downside Deviation is a measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return. Sortino Ratio differentiates harmful volatility from volatility in general by using a value for downside deviation. The Sortino Ratio is the excess return over the risk-free rate divided by the downside semivariance and so it measures the return to “bad” volatility.
Standard Deviation shows the degree of variation in the Fund’s returns and can serve as a useful measure of the Fund’s volatility. It is measured using monthly observations but expresses the result on an annualized basis. Sharpe Ratio is a statistical measure that uses standard deviation and excess return to determine reward per unit of volatility.
A higher Sharpe Ratio implies a better historical volatility performance. Upside and Downside Capture Ratios show you whether a given fund has outperformed—gained more or lost less than a broad market benchmark during periods of market strength and weakness and if so, by how much. Upside capture ratios for funds are calculated by taking the fund’s monthly return during months when the benchmark had a positive return and dividing it by the benchmark return during that same month. Downside capture ratios are calculated by taking the fund’s monthly return during the periods of negative benchmark performance and dividing it by the benchmark return.
Capture Ratio is the upside capture divided by the downside capture. .
