Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:11 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
23.26%
vs Benchmark 10.68%
📊 Volatility (Ann.)
75.0%
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
49.59%
Beta
0.84
Ann. Alpha
46.77%
Information Ratio
0.68
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 36.30%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 46.77%.
- A low Beta value (0.84) 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 (0.68) 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
23.26%
10.68%
12.58%
Annualized Return
62.52%
12.94%
49.59%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
75.05%
20.03%
3.75x
Max Drawdown
49.83%
18.76%
2.66x
Sharpe Ratio
0.79
0.50
0.30
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
46.77%
Positive Alpha
Good
Information Ratio
0.68
High IR
Excellent
Correlation Coeff.
0.22
Weakly Correlated
Weak Link
R-Squared
5.02%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
111.92%
Outperforms in up markets
Down Capture Ratio
73.71%
Falls less than market