Stock vs. Benchmark Comparison
Data updated: 2025-06-21 17:36 UTC
洛克希德马丁 (LMT)
标普500 (SPY)
📈 Cumulative Return
4.99%
vs Benchmark 9.73%
📊 Volatility (Ann.)
24.8%
Benchmark 20.5%
⚠️ 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
-3.74%
Beta
0.16
Ann. Alpha
6.33%
Information Ratio
-0.12
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 3.38%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.33%.
- A low Beta value (0.16) indicates the stock's volatility is lower than the market average.
- 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
LMT
SPY
Excess/Diff.
Total Return
4.99%
9.73%
-4.73%
Annualized Return
8.32%
12.06%
-3.74%
Risk Metrics
Metric
LMT
SPY
Ratio/Diff.
Annualized Volatility
24.81%
20.49%
1.21x
Max Drawdown
30.73%
18.76%
1.64x
Sharpe Ratio
0.21
0.44
-0.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.16
Lower than market
Low Volatility
Annualized Alpha
6.33%
Positive Alpha
Good
Information Ratio
-0.12
Moderate IR
Fair
Correlation Coeff.
0.13
Weakly Correlated
Weak Link
R-Squared
1.81%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
7.36%
Captures part of up moves
Down Capture Ratio
-0.12%
Rises when market falls