Stock vs. Benchmark Comparison
Data updated: 2025-05-07 23:10 UTC
百度 (BIDU)
标普500 (SPY)
📈 Cumulative Return
-19.56%
vs Benchmark 10.68%
📊 Volatility (Ann.)
43.2%
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
-24.75%
Beta
0.71
Ann. Alpha
-19.14%
Information Ratio
-0.60
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 24.64%.
- The stock showed negative stock selection ability, with an annualized Alpha of -19.14%.
- A low Beta value (0.71) 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 negative Information Ratio (-0.60) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BIDU
SPY
Excess/Diff.
Total Return
-19.56%
10.68%
-30.24%
Annualized Return
-11.82%
12.94%
-24.75%
Risk Metrics
Metric
BIDU
SPY
Ratio/Diff.
Annualized Volatility
43.22%
20.03%
2.16x
Max Drawdown
33.24%
18.76%
1.77x
Sharpe Ratio
-0.34
0.50
-0.84
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.71
Lower than market
Low Volatility
Annualized Alpha
-19.14%
Negative Alpha
Poor
Information Ratio
-0.60
Low IR
Poor
Correlation Coeff.
0.33
Low Correlation
Weak Link
R-Squared
10.90%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
62.13%
Captures part of up moves
Down Capture Ratio
84.11%
Falls less than market