Stock vs. Benchmark Comparison
Data updated: 2025-05-11 06:48 UTC
百度 (BIDU)
标普500 (SPY)
📈 Cumulative Return
-20.75%
vs Benchmark 10.51%
📊 Volatility (Ann.)
43.5%
Benchmark 20.0%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-25.79%
Beta
0.71
Ann. Alpha
-20.16%
Information Ratio
-0.62
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 25.87%.
- The stock showed negative stock selection ability, with an annualized Alpha of -20.16%.
- A low Beta value (0.71) 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 (-0.62) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BIDU
SPY
Excess/Diff.
Total Return
-20.75%
10.51%
-31.25%
Annualized Return
-13.04%
12.76%
-25.79%
Risk Metrics
Metric
BIDU
SPY
Ratio/Diff.
Annualized Volatility
43.45%
20.02%
2.17x
Max Drawdown
33.24%
18.76%
1.77x
Sharpe Ratio
-0.37
0.49
-0.86
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.71
Lower than market
Low Volatility
Annualized Alpha
-20.16%
Negative Alpha
Poor
Information Ratio
-0.62
Low IR
Poor
Correlation Coeff.
0.33
Low Correlation
Weak Link
R-Squared
10.73%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
61.68%
Captures part of up moves
Down Capture Ratio
84.98%
Falls less than market