Stock vs. Benchmark Comparison
Data updated: 2025-06-20 22:06 UTC
AMD
标普500 (SPY)
📈 Cumulative Return
-27.51%
vs Benchmark 11.68%
📊 Volatility (Ann.)
53.0%
Benchmark 20.4%
⚠️ 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
-30.97%
Beta
1.95
Ann. Alpha
-35.71%
Information Ratio
-0.78
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 31.55%.
- The stock showed negative stock selection ability, with an annualized Alpha of -35.71%.
- A high Beta value (1.95) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.78) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AMD
SPY
Excess/Diff.
Total Return
-27.51%
11.68%
-39.19%
Annualized Return
-16.92%
14.05%
-30.97%
Risk Metrics
Metric
AMD
SPY
Ratio/Diff.
Annualized Volatility
52.96%
20.43%
2.59x
Max Drawdown
57.49%
18.76%
3.07x
Sharpe Ratio
-0.38
0.54
-0.92
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.95
Higher than market
High Volatility
Annualized Alpha
-35.71%
Negative Alpha
Poor
Information Ratio
-0.78
Low IR
Poor
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.46%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
177.33%
Outperforms in up markets
Down Capture Ratio
221.71%
Falls more than market