Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:00 UTC
洛克希德马丁 (LMT)
标普500 (SPY)
📈 Cumulative Return
4.48%
vs Benchmark 13.00%
📊 Volatility (Ann.)
22.9%
Benchmark 20.0%
*
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
-8.02%
Beta
0.17
Ann. Alpha
4.80%
Information Ratio
-0.28
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.18%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.80%.
- A low Beta value (0.17) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- 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
4.48%
13.00%
-8.52%
Annualized Return
7.30%
15.32%
-8.02%
Risk Metrics
Metric
LMT
SPY
Ratio/Diff.
Annualized Volatility
22.90%
20.05%
1.14x
Max Drawdown
30.73%
18.76%
1.64x
Sharpe Ratio
0.19
0.61
-0.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.17
Lower than market
Low Volatility
Annualized Alpha
4.80%
Positive Alpha
Good
Information Ratio
-0.28
Moderate IR
Fair
Correlation Coeff.
0.14
Weakly Correlated
Weak Link
R-Squared
2.10%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
3.56%
Captures part of up moves
Down Capture Ratio
-3.64%
Rises when market falls