Stock vs. Benchmark Comparison
Data updated: 2025-05-06 11:35 UTC
阿里巴巴 (BABA)
标普500 (SPY)
📈 Cumulative Return
60.95%
vs Benchmark 13.00%
📊 Volatility (Ann.)
46.1%
Benchmark 20.0%
⚠️ 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
63.84%
Beta
0.72
Ann. Alpha
61.74%
Information Ratio
1.45
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 43.95%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 61.74%.
- A low Beta value (0.72) 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 (1.45) 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
60.95%
13.00%
47.95%
Annualized Return
79.16%
15.32%
63.84%
Risk Metrics
Metric
BABA
SPY
Ratio/Diff.
Annualized Volatility
46.08%
20.05%
2.30x
Max Drawdown
32.66%
18.76%
1.74x
Sharpe Ratio
1.65
0.61
1.04
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.72
Lower than market
Low Volatility
Annualized Alpha
61.74%
Positive Alpha
Good
Information Ratio
1.45
High IR
Excellent
Correlation Coeff.
0.31
Low Correlation
Weak Link
R-Squared
9.78%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
107.94%
Outperforms in up markets
Down Capture Ratio
60.56%
Falls less than market