Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:47 UTC
英特尔 (INTC)
标普500 (SPY)
📈 Cumulative Return
-32.88%
vs Benchmark 13.00%
📊 Volatility (Ann.)
62.7%
Benchmark 20.0%
⚠️ 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
-33.50%
Beta
1.75
Ann. Alpha
-36.28%
Information Ratio
-0.62
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 34.18%.
- The stock showed negative stock selection ability, with an annualized Alpha of -36.28%.
- A high Beta value (1.75) 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.
- A negative Information Ratio (-0.62) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
INTC
SPY
Excess/Diff.
Total Return
-32.88%
13.00%
-45.88%
Annualized Return
-18.18%
15.32%
-33.50%
Risk Metrics
Metric
INTC
SPY
Ratio/Diff.
Annualized Volatility
62.70%
20.05%
3.13x
Max Drawdown
47.68%
18.76%
2.54x
Sharpe Ratio
-0.34
0.61
-0.95
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.75
Higher than market
High Volatility
Annualized Alpha
-36.28%
Negative Alpha
Poor
Information Ratio
-0.62
Low IR
Poor
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
31.34%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
167.00%
Outperforms in up markets
Down Capture Ratio
215.35%
Falls more than market