Stock vs. Benchmark Comparison
Data updated: 2025-05-10 23:40 UTC
联合健康 (UNH)
标普500 (SPY)
📈 Cumulative Return
-23.15%
vs Benchmark 10.51%
📊 Volatility (Ann.)
37.5%
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
-30.02%
Beta
0.21
Ann. Alpha
-19.30%
Information Ratio
-0.74
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 30.83%.
- The stock showed negative stock selection ability, with an annualized Alpha of -19.30%.
- A low Beta value (0.21) 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 (-0.74) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
UNH
SPY
Excess/Diff.
Total Return
-23.15%
10.51%
-33.65%
Annualized Return
-17.26%
12.76%
-30.02%
Risk Metrics
Metric
UNH
SPY
Ratio/Diff.
Annualized Volatility
37.48%
20.02%
1.87x
Max Drawdown
38.63%
18.76%
2.06x
Sharpe Ratio
-0.54
0.49
-1.03
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.21
Lower than market
Low Volatility
Annualized Alpha
-19.30%
Negative Alpha
Poor
Information Ratio
-0.74
Low IR
Poor
Correlation Coeff.
0.11
Weakly Correlated
Weak Link
R-Squared
1.22%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
5.72%
Captures part of up moves
Down Capture Ratio
27.12%
Falls less than market