Stock vs. Benchmark Comparison
Data updated: 2025-08-09 07:36 UTC
百度 (BIDU)
标普500 (SPY)
📈 Cumulative Return
5.37%
vs Benchmark 22.59%
📊 Volatility (Ann.)
44.0%
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
-9.06%
Beta
0.72
Ann. Alpha
-1.14%
Information Ratio
-0.22
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.49%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.14%.
- A low Beta value (0.72) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BIDU
SPY
Excess/Diff.
Total Return
5.37%
22.59%
-17.22%
Annualized Return
16.05%
25.12%
-9.06%
Risk Metrics
Metric
BIDU
SPY
Ratio/Diff.
Annualized Volatility
44.04%
19.93%
2.21x
Max Drawdown
33.24%
18.75%
1.77x
Sharpe Ratio
0.30
1.11
-0.81
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.72
Lower than market
Low Volatility
Annualized Alpha
-1.14%
Negative Alpha
Poor
Information Ratio
-0.22
Moderate IR
Fair
Correlation Coeff.
0.32
Low Correlation
Weak Link
R-Squared
10.49%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
71.27%
Captures part of up moves
Down Capture Ratio
72.54%
Falls less than market