Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
阿里巴巴 (BABA)
标普500 (SPY)
📈 Cumulative Return
53.64%
vs Benchmark 19.31%
📊 Volatility (Ann.)
46.8%
Benchmark 20.2%
⚠️ 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
49.76%
Beta
0.73
Ann. Alpha
48.66%
Information Ratio
1.11
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 34.17%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 48.66%.
- A low Beta value (0.73) 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 high Information Ratio (1.11) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BABA
SPY
Excess/Diff.
Total Return
53.64%
19.31%
34.33%
Annualized Return
71.57%
21.81%
49.76%
Risk Metrics
Metric
BABA
SPY
Ratio/Diff.
Annualized Volatility
46.81%
20.17%
2.32x
Max Drawdown
32.66%
18.75%
1.74x
Sharpe Ratio
1.46
0.93
0.53
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.73
Lower than market
Low Volatility
Annualized Alpha
48.66%
Positive Alpha
Good
Information Ratio
1.11
High IR
Excellent
Correlation Coeff.
0.31
Low Correlation
Weak Link
R-Squared
9.83%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
95.81%
Captures part of up moves
Down Capture Ratio
56.09%
Falls less than market