Stock vs. Benchmark Comparison
Data updated: 2025-08-06 01:09 UTC
波音 (BA)
标普500 (SPY)
📈 Cumulative Return
18.72%
vs Benchmark 18.07%
📊 Volatility (Ann.)
39.3%
Benchmark 20.2%
⚠️ 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
7.68%
Beta
1.18
Ann. Alpha
2.86%
Information Ratio
0.24
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 6.16%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 2.86%.
- A high Beta value (1.18) 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
18.72%
18.07%
0.65%
Annualized Return
28.24%
20.56%
7.68%
Risk Metrics
Metric
BA
SPY
Ratio/Diff.
Annualized Volatility
39.26%
20.24%
1.94x
Max Drawdown
28.34%
18.75%
1.51x
Sharpe Ratio
0.64
0.87
-0.22
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.18
Higher than market
High Volatility
Annualized Alpha
2.86%
Positive Alpha
Good
Information Ratio
0.24
Moderate IR
Fair
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
36.99%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
103.24%
Outperforms in up markets
Down Capture Ratio
97.02%
Falls less than market