Stock vs. Benchmark Comparison
Data updated: 2025-06-21 08:53 UTC
波音 (BA)
标普500 (SPY)
📈 Cumulative Return
9.66%
vs Benchmark 11.68%
📊 Volatility (Ann.)
39.2%
Benchmark 20.4%
⚠️ 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
4.35%
Beta
1.15
Ann. Alpha
1.77%
Information Ratio
0.14
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 3.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 1.77%.
- A high Beta value (1.15) indicates the stock is more sensitive to market changes and has higher volatility.
- 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
BA
SPY
Excess/Diff.
Total Return
9.66%
11.68%
-2.02%
Annualized Return
18.40%
14.05%
4.35%
Risk Metrics
Metric
BA
SPY
Ratio/Diff.
Annualized Volatility
39.21%
20.43%
1.92x
Max Drawdown
28.34%
18.76%
1.51x
Sharpe Ratio
0.39
0.54
-0.15
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.15
Higher than market
High Volatility
Annualized Alpha
1.77%
Positive Alpha
Good
Information Ratio
0.14
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
36.00%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
88.95%
Captures part of up moves
Down Capture Ratio
83.44%
Falls less than market