Stock vs. Benchmark Comparison
Data updated: 2025-09-24 04:26 UTC
耐克 (NKE)
标普500 (SPY)
📈 Cumulative Return
-16.20%
vs Benchmark 18.13%
📊 Volatility (Ann.)
38.9%
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
-30.17%
Beta
0.97
Ann. Alpha
-24.65%
Information Ratio
-0.89
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 28.72%.
- The stock showed negative stock selection ability, with an annualized Alpha of -24.65%.
- A Beta value (0.97) 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 (-0.89) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NKE
SPY
Excess/Diff.
Total Return
-16.20%
18.13%
-34.33%
Annualized Return
-9.74%
20.43%
-30.17%
Risk Metrics
Metric
NKE
SPY
Ratio/Diff.
Annualized Volatility
38.86%
19.44%
2.00x
Max Drawdown
39.84%
18.76%
2.12x
Sharpe Ratio
-0.33
0.90
-1.22
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.97
Similar to market
Medium Volatility
Annualized Alpha
-24.65%
Negative Alpha
Poor
Information Ratio
-0.89
Low IR
Poor
Correlation Coeff.
0.49
Low Correlation
Weak Link
R-Squared
23.54%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
82.16%
Captures part of up moves
Down Capture Ratio
112.87%
Falls more than market