Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:53 UTC
Adobe (ADBE)
标普500 (SPY)
📈 Cumulative Return
-36.90%
vs Benchmark 22.08%
📊 Volatility (Ann.)
33.9%
Benchmark 19.8%
⚠️ 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
-57.71%
Beta
0.92
Ann. Alpha
-45.41%
Information Ratio
-2.01
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 61.96%.
- The stock showed negative stock selection ability, with an annualized Alpha of -45.41%.
- A Beta value (0.92) 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 (-2.01) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ADBE
SPY
Excess/Diff.
Total Return
-36.90%
22.08%
-58.98%
Annualized Return
-33.14%
24.57%
-57.71%
Risk Metrics
Metric
ADBE
SPY
Ratio/Diff.
Annualized Volatility
33.94%
19.83%
1.71x
Max Drawdown
43.12%
18.75%
2.30x
Sharpe Ratio
-1.06
1.09
-2.15
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
-45.41%
Negative Alpha
Poor
Information Ratio
-2.01
Low IR
Poor
Correlation Coeff.
0.54
Moderately Correlated
Clear Link
R-Squared
28.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
75.96%
Captures part of up moves
Down Capture Ratio
142.82%
Falls more than market