Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:03 UTC
AMD
标普500 (SPY)
📈 Cumulative Return
-31.18%
vs Benchmark 13.00%
📊 Volatility (Ann.)
52.7%
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
-36.56%
Beta
1.97
Ann. Alpha
-40.58%
Information Ratio
-0.92
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 37.98%.
- The stock showed negative stock selection ability, with an annualized Alpha of -40.58%.
- A high Beta value (1.97) 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 (-0.92) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AMD
SPY
Excess/Diff.
Total Return
-31.18%
13.00%
-44.18%
Annualized Return
-21.25%
15.32%
-36.56%
Risk Metrics
Metric
AMD
SPY
Ratio/Diff.
Annualized Volatility
52.68%
20.05%
2.63x
Max Drawdown
57.49%
18.76%
3.07x
Sharpe Ratio
-0.46
0.61
-1.07
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.97
Higher than market
High Volatility
Annualized Alpha
-40.58%
Negative Alpha
Poor
Information Ratio
-0.92
Low IR
Poor
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.36%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
167.22%
Outperforms in up markets
Down Capture Ratio
219.80%
Falls more than market