Stock vs. Benchmark Comparison
Data updated: 2025-08-07 10:40 UTC
奈飞 (NFLX)
标普500 (SPY)
📈 Cumulative Return
87.06%
vs Benchmark 19.31%
📊 Volatility (Ann.)
33.2%
Benchmark 20.2%
⚠️ 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
76.15%
Beta
0.92
Ann. Alpha
65.15%
Information Ratio
2.77
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 48.46%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 65.15%.
- A Beta value (0.92) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (2.77) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NFLX
SPY
Excess/Diff.
Total Return
87.06%
19.31%
67.75%
Annualized Return
97.96%
21.81%
76.15%
Risk Metrics
Metric
NFLX
SPY
Ratio/Diff.
Annualized Volatility
33.16%
20.17%
1.64x
Max Drawdown
19.15%
18.75%
1.02x
Sharpe Ratio
2.86
0.93
1.93
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
65.15%
Positive Alpha
Good
Information Ratio
2.77
High IR
Excellent
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
31.34%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
132.42%
Outperforms in up markets
Down Capture Ratio
84.65%
Falls less than market