Stock vs. Benchmark Comparison
Data updated: 2025-06-23 17:15 UTC
哔哩哔哩 (BILI)
标普500 (SPY)
📈 Cumulative Return
22.00%
vs Benchmark 9.73%
📊 Volatility (Ann.)
73.1%
Benchmark 20.5%
⚠️ 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
46.48%
Beta
0.84
Ann. Alpha
44.06%
Information Ratio
0.65
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 34.60%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 44.06%.
- 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 (0.65) 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
22.00%
9.73%
12.28%
Annualized Return
58.55%
12.06%
46.48%
Risk Metrics
Metric
BILI
SPY
Ratio/Diff.
Annualized Volatility
73.14%
20.49%
3.57x
Max Drawdown
49.83%
18.76%
2.66x
Sharpe Ratio
0.76
0.44
0.32
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
44.06%
Positive Alpha
Good
Information Ratio
0.65
High IR
Excellent
Correlation Coeff.
0.24
Weakly Correlated
Weak Link
R-Squared
5.57%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
95.56%
Captures part of up moves
Down Capture Ratio
58.74%
Falls less than market