Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:14 UTC
洛克希德马丁 (LMT)
标普500 (SPY)
📈 Cumulative Return
-20.36%
vs Benchmark 24.38%
📊 Volatility (Ann.)
26.5%
Benchmark 19.9%
⚠️ 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
-44.47%
Beta
0.20
Ann. Alpha
-21.40%
Information Ratio
-1.45
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 42.96%.
- The stock showed negative stock selection ability, with an annualized Alpha of -21.40%.
- A low Beta value (0.20) 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 negative Information Ratio (-1.45) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
LMT
SPY
Excess/Diff.
Total Return
-20.36%
24.38%
-44.74%
Annualized Return
-17.52%
26.95%
-44.47%
Risk Metrics
Metric
LMT
SPY
Ratio/Diff.
Annualized Volatility
26.50%
19.93%
1.33x
Max Drawdown
31.81%
18.75%
1.70x
Sharpe Ratio
-0.77
1.20
-1.98
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.20
Lower than market
Low Volatility
Annualized Alpha
-21.40%
Negative Alpha
Poor
Information Ratio
-1.45
Low IR
Poor
Correlation Coeff.
0.15
Weakly Correlated
Weak Link
R-Squared
2.30%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-1.68%
Moves opposite in up markets
Down Capture Ratio
20.51%
Falls less than market