Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:13 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
51.97%
vs Benchmark 24.38%
📊 Volatility (Ann.)
72.5%
Benchmark 19.9%
⚠️ 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
69.81%
Beta
0.90
Ann. Alpha
58.93%
Information Ratio
0.99
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 43.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 58.93%.
- A Beta value (0.90) 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 (0.99) 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
51.97%
24.38%
27.59%
Annualized Return
96.76%
26.95%
69.81%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
72.54%
19.93%
3.64x
Max Drawdown
49.83%
18.75%
2.66x
Sharpe Ratio
1.29
1.20
0.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.90
Similar to market
Medium Volatility
Annualized Alpha
58.93%
Positive Alpha
Good
Information Ratio
0.99
High IR
Excellent
Correlation Coeff.
0.25
Weakly Correlated
Weak Link
R-Squared
6.07%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
103.45%
Outperforms in up markets
Down Capture Ratio
52.73%
Falls less than market