Stock vs. Benchmark Comparison
Data updated: 2025-05-11 07:02 UTC
Adobe (ADBE)
标普500 (SPY)
📈 Cumulative Return
-21.48%
vs Benchmark 10.51%
📊 Volatility (Ann.)
36.9%
Benchmark 20.0%
⚠️ 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
-28.70%
Beta
0.93
Ann. Alpha
-24.81%
Information Ratio
-0.90
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 29.26%.
- The stock showed negative stock selection ability, with an annualized Alpha of -24.81%.
- A Beta value (0.93) 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 (-0.90) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ADBE
SPY
Excess/Diff.
Total Return
-21.48%
10.51%
-31.98%
Annualized Return
-15.95%
12.76%
-28.70%
Risk Metrics
Metric
ADBE
SPY
Ratio/Diff.
Annualized Volatility
36.88%
20.02%
1.84x
Max Drawdown
42.03%
18.76%
2.24x
Sharpe Ratio
-0.51
0.49
-1.00
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.93
Similar to market
Medium Volatility
Annualized Alpha
-24.81%
Negative Alpha
Poor
Information Ratio
-0.90
Low IR
Poor
Correlation Coeff.
0.50
Moderately Correlated
Clear Link
R-Squared
25.37%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
93.06%
Captures part of up moves
Down Capture Ratio
124.18%
Falls more than market