Stock vs. Benchmark Comparison
Data updated: 2025-06-03 16:09 UTC
英伟达 (NVDA)
标普500 (SPY)
Cumulative Return
24.37%
vs Benchmark 14.86%
Volatility (Ann.)
58.9%
Benchmark 20.4%
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
30.64%
Beta
2.08
Ann. Alpha
6.13%
Information Ratio
0.66
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 23.14%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.13%.
- A high Beta value (2.08) 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 high Information Ratio (0.66) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NVDA
SPY
Excess/Diff.
Total Return
24.37%
14.86%
9.51%
Annualized Return
47.95%
17.31%
30.64%
Risk Metrics
Metric
NVDA
SPY
Ratio/Diff.
Annualized Volatility
58.85%
20.42%
2.88x
Max Drawdown
36.88%
18.76%
1.97x
Sharpe Ratio
0.76
0.70
0.06
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.08
Higher than market
High Volatility
Annualized Alpha
6.13%
Positive Alpha
Good
Information Ratio
0.66
High IR
Excellent
Correlation Coeff.
0.72
Moderately Correlated
Clear Link
R-Squared
52.21%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
251.35%
Outperforms in up markets
Down Capture Ratio
252.36%
Falls more than market