Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:11 UTC
Adobe (ADBE)
标普500 (SPY)
📈 Cumulative Return
-33.60%
vs Benchmark 24.38%
📊 Volatility (Ann.)
34.0%
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
-56.56%
Beta
0.93
Ann. Alpha
-43.60%
Information Ratio
-1.98
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 58.73%.
- The stock showed negative stock selection ability, with an annualized Alpha of -43.60%.
- A Beta value (0.93) 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 negative Information Ratio (-1.98) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ADBE
SPY
Excess/Diff.
Total Return
-33.60%
24.38%
-57.98%
Annualized Return
-29.61%
26.95%
-56.56%
Risk Metrics
Metric
ADBE
SPY
Ratio/Diff.
Annualized Volatility
34.04%
19.93%
1.71x
Max Drawdown
42.33%
18.75%
2.26x
Sharpe Ratio
-0.96
1.20
-2.16
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.93
Similar to market
Medium Volatility
Annualized Alpha
-43.60%
Negative Alpha
Poor
Information Ratio
-1.98
Low IR
Poor
Correlation Coeff.
0.54
Moderately Correlated
Clear Link
R-Squared
29.41%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
77.50%
Captures part of up moves
Down Capture Ratio
140.59%
Falls more than market