Stock vs. Benchmark Comparison
Data updated: 2025-09-24 14:55 UTC
迪士尼 (DIS)
标普500 (SPY)
📈 Cumulative Return
20.78%
vs Benchmark 18.13%
📊 Volatility (Ann.)
29.6%
Benchmark 19.4%
⚠️ 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
5.76%
Beta
1.01
Ann. Alpha
4.60%
Information Ratio
0.26
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.66%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.60%.
- A Beta value (1.01) 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.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
DIS
SPY
Excess/Diff.
Total Return
20.78%
18.13%
2.65%
Annualized Return
26.19%
20.43%
5.76%
Risk Metrics
Metric
DIS
SPY
Ratio/Diff.
Annualized Volatility
29.61%
19.44%
1.52x
Max Drawdown
30.20%
18.76%
1.61x
Sharpe Ratio
0.78
0.90
-0.11
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.01
Similar to market
Medium Volatility
Annualized Alpha
4.60%
Positive Alpha
Good
Information Ratio
0.26
Moderate IR
Fair
Correlation Coeff.
0.66
Moderately Correlated
Clear Link
R-Squared
43.95%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
89.60%
Captures part of up moves
Down Capture Ratio
81.64%
Falls less than market