Stock vs. Benchmark Comparison
Data updated: 2025-09-23 23:53 UTC
波音 (BA)
标普500 (SPY)
📈 Cumulative Return
37.20%
vs Benchmark 18.57%
📊 Volatility (Ann.)
37.0%
Benchmark 19.4%
⚠️ 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
26.08%
Beta
1.10
Ann. Alpha
19.31%
Information Ratio
0.86
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 19.48%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 19.31%.
- A Beta value (1.10) 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 (0.86) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BA
SPY
Excess/Diff.
Total Return
37.20%
18.57%
18.62%
Annualized Return
46.96%
20.88%
26.08%
Risk Metrics
Metric
BA
SPY
Ratio/Diff.
Annualized Volatility
36.96%
19.43%
1.90x
Max Drawdown
26.66%
18.76%
1.42x
Sharpe Ratio
1.19
0.92
0.27
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.10
Similar to market
Medium Volatility
Annualized Alpha
19.31%
Positive Alpha
Good
Information Ratio
0.86
High IR
Excellent
Correlation Coeff.
0.58
Moderately Correlated
Clear Link
R-Squared
33.45%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
99.42%
Captures part of up moves
Down Capture Ratio
75.64%
Falls less than market