Stock vs. Benchmark Comparison
Data updated: 2025-05-06 20:21 UTC
耐克 (NKE)
标普500 (SPY)
📈 Cumulative Return
-36.78%
vs Benchmark 13.00%
📊 Volatility (Ann.)
39.9%
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
-46.74%
Beta
0.83
Ann. Alpha
-39.12%
Information Ratio
-1.29
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 51.74%.
- The stock showed negative stock selection ability, with an annualized Alpha of -39.12%.
- A low Beta value (0.83) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.29) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NKE
SPY
Excess/Diff.
Total Return
-36.78%
13.00%
-49.78%
Annualized Return
-31.42%
15.32%
-46.74%
Risk Metrics
Metric
NKE
SPY
Ratio/Diff.
Annualized Volatility
39.89%
20.05%
1.99x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
-0.86
0.61
-1.48
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.83
Lower than market
Low Volatility
Annualized Alpha
-39.12%
Negative Alpha
Poor
Information Ratio
-1.29
Low IR
Poor
Correlation Coeff.
0.42
Low Correlation
Weak Link
R-Squared
17.57%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
40.32%
Captures part of up moves
Down Capture Ratio
88.19%
Falls less than market