Stock vs. Benchmark Comparison
Data updated: 2025-06-23 22:50 UTC
Adobe (ADBE)
标普500 (SPY)
📈 Cumulative Return
-27.83%
vs Benchmark 9.73%
📊 Volatility (Ann.)
34.3%
Benchmark 20.5%
⚠️ 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
-35.47%
Beta
0.95
Ann. Alpha
-31.28%
Information Ratio
-1.26
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 37.89%.
- The stock showed negative stock selection ability, with an annualized Alpha of -31.28%.
- A Beta value (0.95) 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 (-1.26) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ADBE
SPY
Excess/Diff.
Total Return
-27.83%
9.73%
-37.55%
Annualized Return
-23.40%
12.06%
-35.47%
Risk Metrics
Metric
ADBE
SPY
Ratio/Diff.
Annualized Volatility
34.30%
20.49%
1.67x
Max Drawdown
42.03%
18.76%
2.24x
Sharpe Ratio
-0.77
0.44
-1.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.95
Similar to market
Medium Volatility
Annualized Alpha
-31.28%
Negative Alpha
Poor
Information Ratio
-1.26
Low IR
Poor
Correlation Coeff.
0.57
Moderately Correlated
Clear Link
R-Squared
32.31%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
90.59%
Captures part of up moves
Down Capture Ratio
129.21%
Falls more than market