Upside capture is defined as the
A)dollar value of the uninsured portfolio value minus the insured portfolio value
B)percentage of the insured portfolio value that is represented by the uninsured portfolio value
C)dollar value of the insured portfolio value minus the uninsured portfolio value
D)percentage of the uninsured portfolio value that is represented by the insured portfolio value
E)put premium as a percentage of the original portfolio value

Question

Quizplus · Accepted Answer

Upside capture measures the percentage of the performance of the benchmark index that is captured by the portfolio. It is calculated as the percentage increase in the portfolio when the benchmark index also has an increase. Therefore, it is the percentage of the uninsured portfolio value that is represented by the insured portfolio value. Hence, choice D is the correct answer.

Upside Capture Is Defined as the