Stock vs. Benchmark Comparison
Data updated: 2025-09-26 17:27 UTC
联邦快递 (FDX)
标普500 (SPY)
📈 Cumulative Return
-9.42%
vs Benchmark 16.58%
📊 Volatility (Ann.)
31.9%
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
-23.54%
Beta
1.00
Ann. Alpha
-19.76%
Information Ratio
-0.93
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 21.99%.
- The stock showed negative stock selection ability, with an annualized Alpha of -19.76%.
- A Beta value (1.00) 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 (-0.93) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
FDX
SPY
Excess/Diff.
Total Return
-9.42%
16.58%
-26.00%
Annualized Return
-4.69%
18.85%
-23.54%
Risk Metrics
Metric
FDX
SPY
Ratio/Diff.
Annualized Volatility
31.92%
19.45%
1.64x
Max Drawdown
34.41%
18.76%
1.83x
Sharpe Ratio
-0.24
0.81
-1.06
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.00
Similar to market
Medium Volatility
Annualized Alpha
-19.76%
Negative Alpha
Poor
Information Ratio
-0.93
Low IR
Poor
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
36.81%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
87.09%
Captures part of up moves
Down Capture Ratio
110.76%
Falls more than market