Trading - upside & downside capture

CFA Level III Portfolio Management
#1

Dear Forum,

  • A capture ratio greater than 1: positive asymmetry, or a convex return profile
  • A capture ratio less than 1: negative asymmetry, or a concave return profile

I cannot really grasp this. Why are we talking about a positive or negative asymmetry? Shouldn’t it actually be SYMMETRY?

Thanks a lot!

C.

#2

IMO, symmetry/asymmetry is usually referring to the shape of some sort of distribution, in this case, likely the distribution of return. As we are talking about active management, so I am imagining the distribution of return relative to the benchmark. A perfect symmetry might be a complete random(walk) deviation from the benchmark which should expect a normal distribution centered at 1. Positive asymmetry (negatively skewed = tail on the left) will have the weight more on the positive side (more upside capture). That is my understanding.

#3

Got it, symmetry -> 1 (100%)!
Thank you!!