Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:04 UTC
迪士尼 (DIS)
标普500 (SPY)
📈 Cumulative Return
-17.47%
vs Benchmark 13.00%
📊 Volatility (Ann.)
29.6%
Benchmark 20.0%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-29.15%
Beta
0.93
Ann. Alpha
-24.51%
Information Ratio
-1.26
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 29.02%.
- The stock showed negative stock selection ability, with an annualized Alpha of -24.51%.
- A Beta value (0.93) 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 negative Information Ratio (-1.26) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
DIS
SPY
Excess/Diff.
Total Return
-17.47%
13.00%
-30.47%
Annualized Return
-13.83%
15.32%
-29.15%
Risk Metrics
Metric
DIS
SPY
Ratio/Diff.
Annualized Volatility
29.61%
20.05%
1.48x
Max Drawdown
30.20%
18.76%
1.61x
Sharpe Ratio
-0.57
0.61
-1.18
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.93
Similar to market
Medium Volatility
Annualized Alpha
-24.51%
Negative Alpha
Poor
Information Ratio
-1.26
Low IR
Poor
Correlation Coeff.
0.63
Moderately Correlated
Clear Link
R-Squared
39.43%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
57.74%
Captures part of up moves
Down Capture Ratio
83.21%
Falls less than market