What do "upside capture" & downside protection" mean in the determination of market value of securities?

Question

E.g. "upside capture" & downside protection" for a change in the market yield rate of a bond by 50 Basis Points.

Answer 1

These are term from the world of portfolio insurance.

In an ideal world, you could have an investment that would not go down but might go up a lot.  Nobody is going to offer you what economists refer to as a "free lunch".

The best you can do is get "downside protection", that is, a maximum loss or floor under your investment.  You have to give up some of the potential gain.  Upside capture is usually expressed as a ratio of the gain on the insured product versus the full gain on an uninsured product.