Stock vs. Benchmark Comparison
Data updated: 2025-06-21 07:24 UTC
迪士尼 (DIS)
标普500 (SPY)
📈 Cumulative Return
18.07%
vs Benchmark 11.68%
📊 Volatility (Ann.)
30.4%
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
9.58%
Beta
0.97
Ann. Alpha
8.88%
Information Ratio
0.42
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.04%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 8.88%.
- A Beta value (0.97) 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.
- 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
DIS
SPY
Excess/Diff.
Total Return
18.07%
11.68%
6.39%
Annualized Return
23.64%
14.05%
9.58%
Risk Metrics
Metric
DIS
SPY
Ratio/Diff.
Annualized Volatility
30.37%
20.43%
1.49x
Max Drawdown
30.20%
18.76%
1.61x
Sharpe Ratio
0.68
0.54
0.14
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.97
Similar to market
Medium Volatility
Annualized Alpha
8.88%
Positive Alpha
Good
Information Ratio
0.42
Moderate IR
Fair
Correlation Coeff.
0.65
Moderately Correlated
Clear Link
R-Squared
42.33%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
90.67%
Captures part of up moves
Down Capture Ratio
80.80%
Falls less than market