Stock vs. Benchmark Comparison
Data updated: 2025-05-10 23:55 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
28.33%
vs Benchmark 10.51%
📊 Volatility (Ann.)
74.9%
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
56.30%
Beta
0.84
Ann. Alpha
52.82%
Information Ratio
0.77
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 40.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 52.82%.
- A low Beta value (0.84) 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 high Information Ratio (0.77) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BILI
SPY
Excess/Diff.
Total Return
28.33%
10.51%
17.83%
Annualized Return
69.06%
12.76%
56.30%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
74.92%
20.02%
3.74x
Max Drawdown
49.83%
18.76%
2.66x
Sharpe Ratio
0.88
0.49
0.39
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
52.82%
Positive Alpha
Good
Information Ratio
0.77
High IR
Excellent
Correlation Coeff.
0.23
Weakly Correlated
Weak Link
R-Squared
5.07%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
117.72%
Outperforms in up markets
Down Capture Ratio
75.81%
Falls less than market