Stock vs. Benchmark Comparison
Data updated: 2025-09-25 21:11 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
65.01%
vs Benchmark 17.46%
📊 Volatility (Ann.)
70.5%
Benchmark 19.4%
⚠️ 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
91.07%
Beta
0.86
Ann. Alpha
80.71%
Information Ratio
1.33
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 56.44%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 80.71%.
- A Beta value (0.86) 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 high Information Ratio (1.33) 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
65.01%
17.46%
47.55%
Annualized Return
110.81%
19.74%
91.07%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
70.53%
19.44%
3.63x
Max Drawdown
49.83%
18.76%
2.66x
Sharpe Ratio
1.53
0.86
0.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
80.71%
Positive Alpha
Good
Information Ratio
1.33
High IR
Excellent
Correlation Coeff.
0.24
Weakly Correlated
Weak Link
R-Squared
5.58%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
97.76%
Captures part of up moves
Down Capture Ratio
29.34%
Falls less than market