Are all capture ratios created equal?

Jeffrey M. Coy, Eric J. Robbins

Research output: Contribution to journalArticlepeer-review

Abstract

This study aims to shed light on a freely published mutual fund screening tool-the capture ratio-and its ability to predict future fund performance (i.e., alpha). This analysis is of interest for both financial advisors and retail investors who deploy mutual fund screening tools. We find that capture ratios measured over shorter periods, such as one year, do not exhibit subsequent performance predictability. Conversely, we find that the three-year and five-year capture ratios are useful for investors in the full sample. However, analysis across cap and style-based fund subsamples shows that this return predictability is most consistent in predicting three- and five-year performance.

Original languageEnglish (US)
Pages (from-to)60-83
Number of pages24
JournalJournal of Index Investing
Volume12
Issue number2
DOIs
StatePublished - Dec 2021

All Science Journal Classification (ASJC) codes

  • Finance
  • Strategy and Management
  • Management of Technology and Innovation

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