Stock vs. Benchmark Comparison
Data updated: 2025-06-21 18:29 UTC
耐克 (NKE)
标普500 (SPY)
📈 Cumulative Return
-35.56%
vs Benchmark 9.73%
📊 Volatility (Ann.)
41.6%
Benchmark 20.5%
⚠️ 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
-41.69%
Beta
0.94
Ann. Alpha
-36.79%
Information Ratio
-1.13
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 46.32%.
- The stock showed negative stock selection ability, with an annualized Alpha of -36.79%.
- A Beta value (0.94) 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 (-1.13) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NKE
SPY
Excess/Diff.
Total Return
-35.56%
9.73%
-45.29%
Annualized Return
-29.62%
12.06%
-41.69%
Risk Metrics
Metric
NKE
SPY
Ratio/Diff.
Annualized Volatility
41.57%
20.49%
2.03x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
-0.78
0.44
-1.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.94
Similar to market
Medium Volatility
Annualized Alpha
-36.79%
Negative Alpha
Poor
Information Ratio
-1.13
Low IR
Poor
Correlation Coeff.
0.46
Low Correlation
Weak Link
R-Squared
21.54%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
60.97%
Captures part of up moves
Down Capture Ratio
104.91%
Falls more than market