为什么capture ratio>1, 有convex return？

问题如下：

The upside capture is 0.66 and the downside capture is 0.50, the capture ratios of the portfolio indicate:

选项：

A.

a concave return profile.

B.

positive asymmetry of returns.

C.

that the portfolio generates higher returns than the benchmark during all market conditions.

解释：

Correct Answer: B

The upside/downside capture, or simply the capture ratio (CR), is the upside capture ratio divided by the downside capture ratio.

(Upside capture)/(Downside capture) = 0.66/0.50 = 1.32.

A capture ratio greater than 1 indicates positive asymmetry of returns, or a convex return profile.