Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:01 UTC
波音 (BA)
标普500 (SPY)
📈 Cumulative Return
32.31%
vs Benchmark 19.31%
📊 Volatility (Ann.)
38.4%
Benchmark 20.2%
⚠️ 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
20.66%
Beta
1.13
Ann. Alpha
13.95%
Information Ratio
0.67
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 15.62%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 13.95%.
- A Beta value (1.13) 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 high Information Ratio (0.67) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BA
SPY
Excess/Diff.
Total Return
32.31%
19.31%
13.00%
Annualized Return
42.47%
21.81%
20.66%
Risk Metrics
Metric
BA
SPY
Ratio/Diff.
Annualized Volatility
38.37%
20.17%
1.90x
Max Drawdown
26.66%
18.75%
1.42x
Sharpe Ratio
1.03
0.93
0.10
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.13
Similar to market
Medium Volatility
Annualized Alpha
13.95%
Positive Alpha
Good
Information Ratio
0.67
High IR
Excellent
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
35.47%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
101.67%
Outperforms in up markets
Down Capture Ratio
84.31%
Falls less than market