Stock vs. Benchmark Comparison
Data updated: 2025-09-26 00:19 UTC
Adobe (ADBE)
标普500 (SPY)
📈 Cumulative Return
-33.08%
vs Benchmark 17.46%
📊 Volatility (Ann.)
33.2%
Benchmark 19.4%
⚠️ 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
-49.00%
Beta
0.92
Ann. Alpha
-40.05%
Information Ratio
-1.74
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 52.41%.
- The stock showed negative stock selection ability, with an annualized Alpha of -40.05%.
- A Beta value (0.92) 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 (-1.74) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ADBE
SPY
Excess/Diff.
Total Return
-33.08%
17.46%
-50.54%
Annualized Return
-29.26%
19.74%
-49.00%
Risk Metrics
Metric
ADBE
SPY
Ratio/Diff.
Annualized Volatility
33.24%
19.44%
1.71x
Max Drawdown
39.66%
18.76%
2.11x
Sharpe Ratio
-0.97
0.86
-1.83
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
-40.05%
Negative Alpha
Poor
Information Ratio
-1.74
Low IR
Poor
Correlation Coeff.
0.54
Moderately Correlated
Clear Link
R-Squared
28.74%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
77.40%
Captures part of up moves
Down Capture Ratio
135.61%
Falls more than market