Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:13 UTC
苹果 (AAPL)
标普500 (SPY)
📈 Cumulative Return
9.82%
vs Benchmark 24.38%
📊 Volatility (Ann.)
32.1%
Benchmark 19.9%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
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Disclaimer: This analysis is based on historical data and does not constitute investment advice. Securities markets involve risk; invest cautiously. Data updated T+0.
Ann. Excess Return
-11.38%
Beta
1.22
Ann. Alpha
-13.73%
Information Ratio
-0.53
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 9.36%.
- The stock showed negative stock selection ability, with an annualized Alpha of -13.73%.
- A high Beta value (1.22) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.53) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AAPL
SPY
Excess/Diff.
Total Return
9.82%
24.38%
-14.56%
Annualized Return
15.57%
26.95%
-11.38%
Risk Metrics
Metric
AAPL
SPY
Ratio/Diff.
Annualized Volatility
32.10%
19.93%
1.61x
Max Drawdown
33.36%
18.75%
1.78x
Sharpe Ratio
0.39
1.20
-0.81
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.22
Higher than market
High Volatility
Annualized Alpha
-13.73%
Negative Alpha
Poor
Information Ratio
-0.53
Low IR
Poor
Correlation Coeff.
0.76
Moderately Correlated
Clear Link
R-Squared
57.84%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
98.92%
Captures part of up moves
Down Capture Ratio
109.68%
Falls more than market