Stock vs. Benchmark Comparison
Data updated: 2025-06-23 12:29 UTC
百度 (BIDU)
标普500 (SPY)
📈 Cumulative Return
-7.98%
vs Benchmark 9.73%
📊 Volatility (Ann.)
43.8%
Benchmark 20.5%
⚠️ 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
-10.88%
Beta
0.75
Ann. Alpha
-7.09%
Information Ratio
-0.26
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 10.17%.
- The stock showed negative stock selection ability, with an annualized Alpha of -7.09%.
- A low Beta value (0.75) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BIDU
SPY
Excess/Diff.
Total Return
-7.98%
9.73%
-17.71%
Annualized Return
1.18%
12.06%
-10.88%
Risk Metrics
Metric
BIDU
SPY
Ratio/Diff.
Annualized Volatility
43.80%
20.49%
2.14x
Max Drawdown
33.24%
18.76%
1.77x
Sharpe Ratio
-0.04
0.44
-0.48
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.75
Lower than market
Low Volatility
Annualized Alpha
-7.09%
Negative Alpha
Poor
Information Ratio
-0.26
Moderate IR
Fair
Correlation Coeff.
0.35
Low Correlation
Weak Link
R-Squared
12.27%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
81.16%
Captures part of up moves
Down Capture Ratio
89.59%
Falls less than market