Stock vs. Benchmark Comparison
Data updated: 2025-09-23 22:17 UTC
阿里巴巴 (BABA)
标普500 (SPY)
📈 Cumulative Return
88.73%
vs Benchmark 18.57%
📊 Volatility (Ann.)
49.4%
Benchmark 19.4%
⚠️ 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
92.55%
Beta
0.69
Ann. Alpha
87.22%
Information Ratio
1.93
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 56.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 87.22%.
- A low Beta value (0.69) 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 (1.93) 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
88.73%
18.57%
70.16%
Annualized Return
113.43%
20.88%
92.55%
Risk Metrics
Metric
BABA
SPY
Ratio/Diff.
Annualized Volatility
49.44%
19.43%
2.54x
Max Drawdown
32.66%
18.76%
1.74x
Sharpe Ratio
2.23
0.92
1.31
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.69
Lower than market
Low Volatility
Annualized Alpha
87.22%
Positive Alpha
Good
Information Ratio
1.93
High IR
Excellent
Correlation Coeff.
0.27
Weakly Correlated
Weak Link
R-Squared
7.41%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
89.36%
Captures part of up moves
Down Capture Ratio
18.06%
Falls less than market