Stock vs. Benchmark Comparison
Data updated: 2025-05-06 20:11 UTC
波音 (BA)
标普500 (SPY)
📈 Cumulative Return
4.25%
vs Benchmark 13.00%
📊 Volatility (Ann.)
39.8%
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
-2.52%
Beta
1.17
Ann. Alpha
-4.53%
Information Ratio
-0.08
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 2.20%.
- The stock showed negative stock selection ability, with an annualized Alpha of -4.53%.
- A high Beta value (1.17) 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.
- 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
BA
SPY
Excess/Diff.
Total Return
4.25%
13.00%
-8.75%
Annualized Return
12.80%
15.32%
-2.52%
Risk Metrics
Metric
BA
SPY
Ratio/Diff.
Annualized Volatility
39.76%
20.05%
1.98x
Max Drawdown
28.64%
18.76%
1.53x
Sharpe Ratio
0.25
0.61
-0.37
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.17
Higher than market
High Volatility
Annualized Alpha
-4.53%
Negative Alpha
Poor
Information Ratio
-0.08
Moderate IR
Fair
Correlation Coeff.
0.59
Moderately Correlated
Clear Link
R-Squared
34.80%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
86.07%
Captures part of up moves
Down Capture Ratio
86.32%
Falls less than market