Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
迪士尼 (DIS)
标普500 (SPY)
📈 Cumulative Return
33.24%
vs Benchmark 19.31%
📊 Volatility (Ann.)
29.9%
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
17.60%
Beta
0.99
Ann. Alpha
14.60%
Information Ratio
0.79
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.46%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 14.60%.
- A Beta value (0.99) 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 (0.79) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
DIS
SPY
Excess/Diff.
Total Return
33.24%
19.31%
13.94%
Annualized Return
39.41%
21.81%
17.60%
Risk Metrics
Metric
DIS
SPY
Ratio/Diff.
Annualized Volatility
29.94%
20.17%
1.48x
Max Drawdown
30.20%
18.75%
1.61x
Sharpe Ratio
1.22
0.93
0.28
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.99
Similar to market
Medium Volatility
Annualized Alpha
14.60%
Positive Alpha
Good
Information Ratio
0.79
High IR
Excellent
Correlation Coeff.
0.67
Moderately Correlated
Clear Link
R-Squared
44.82%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
99.38%
Captures part of up moves
Down Capture Ratio
83.97%
Falls less than market