Some financial advisers are trying to apply the same idea to the mutual-fund universe by calculating upside and downside "capture ratios" against benchmark indexes.

WSJ: Upside: Protecting Your Portfolio From a Downturn

Year to date the mutual fund is up 2.9 percent, while the MSCI EM, the benchmark for growth emerging market equities, is up just 0.35 percent.

FORBES: Active Money Management Gets Back Their MoJo

Flip through the pages of any financial publication and you will likely see several ads by mutual fund companies touting their superior relative historical performance and high ranking amongst their peer group and benchmark.

FORBES: Three Essential Metrics Mutual Fund Investors Need to Know