Stock vs. Benchmark Comparison
Data updated: 2025-09-24 02:49 UTC
耐克 (NKE)
标普500 (SPY)
📈 Cumulative Return
-15.78%
vs Benchmark 18.78%
📊 Volatility (Ann.)
38.9%
Benchmark 19.5%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-30.51%
Beta
0.97
Ann. Alpha
-24.76%
Information Ratio
-0.90
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 28.78%.
- The stock showed negative stock selection ability, with an annualized Alpha of -24.76%.
- 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.
- A negative Information Ratio (-0.90) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NKE
SPY
Excess/Diff.
Total Return
-15.78%
18.78%
-34.56%
Annualized Return
-9.33%
21.18%
-30.51%
Risk Metrics
Metric
NKE
SPY
Ratio/Diff.
Annualized Volatility
38.93%
19.47%
2.00x
Max Drawdown
39.84%
18.76%
2.12x
Sharpe Ratio
-0.32
0.93
-1.25
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.97
Similar to market
Medium Volatility
Annualized Alpha
-24.76%
Negative Alpha
Poor
Information Ratio
-0.90
Low IR
Poor
Correlation Coeff.
0.49
Low Correlation
Weak Link
R-Squared
23.53%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
82.16%
Captures part of up moves
Down Capture Ratio
113.02%
Falls more than market