Stock vs. Benchmark Comparison
Data updated: 2025-06-21 22:53 UTC
阿里巴巴 (BABA)
标普500 (SPY)
📈 Cumulative Return
54.32%
vs Benchmark 9.73%
📊 Volatility (Ann.)
45.6%
Benchmark 20.5%
⚠️ 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
59.35%
Beta
0.73
Ann. Alpha
57.68%
Information Ratio
1.37
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 42.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 57.68%.
- A low Beta value (0.73) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (1.37) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BABA
SPY
Excess/Diff.
Total Return
54.32%
9.73%
44.60%
Annualized Return
71.41%
12.06%
59.35%
Risk Metrics
Metric
BABA
SPY
Ratio/Diff.
Annualized Volatility
45.62%
20.49%
2.23x
Max Drawdown
32.67%
18.76%
1.74x
Sharpe Ratio
1.50
0.44
1.06
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.73
Lower than market
Low Volatility
Annualized Alpha
57.68%
Positive Alpha
Good
Information Ratio
1.37
High IR
Excellent
Correlation Coeff.
0.33
Low Correlation
Weak Link
R-Squared
10.88%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
108.66%
Outperforms in up markets
Down Capture Ratio
65.23%
Falls less than market