Stock vs. Benchmark Comparison
Data updated: 2025-08-09 11:28 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
46.71%
vs Benchmark 22.59%
📊 Volatility (Ann.)
72.7%
Benchmark 19.9%
⚠️ 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
65.01%
Beta
0.91
Ann. Alpha
55.19%
Information Ratio
0.92
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 41.75%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 55.19%.
- A Beta value (0.91) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.92) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BILI
SPY
Excess/Diff.
Total Return
46.71%
22.59%
24.12%
Annualized Return
90.13%
25.12%
65.01%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
72.69%
19.93%
3.65x
Max Drawdown
49.83%
18.75%
2.66x
Sharpe Ratio
1.20
1.11
0.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.91
Similar to market
Medium Volatility
Annualized Alpha
55.19%
Positive Alpha
Good
Information Ratio
0.92
High IR
Excellent
Correlation Coeff.
0.25
Weakly Correlated
Weak Link
R-Squared
6.20%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
105.17%
Outperforms in up markets
Down Capture Ratio
57.56%
Falls less than market