Stock vs. Benchmark Comparison
Data updated: 2025-08-06 10:22 UTC
耐克 (NKE)
标普500 (SPY)
📈 Cumulative Return
2.65%
vs Benchmark 19.31%
📊 Volatility (Ann.)
40.0%
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
-10.68%
Beta
0.97
Ann. Alpha
-8.15%
Information Ratio
-0.31
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 9.14%.
- The stock showed negative stock selection ability, with an annualized Alpha of -8.15%.
- 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.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NKE
SPY
Excess/Diff.
Total Return
2.65%
19.31%
-16.66%
Annualized Return
11.13%
21.81%
-10.68%
Risk Metrics
Metric
NKE
SPY
Ratio/Diff.
Annualized Volatility
40.00%
20.17%
1.98x
Max Drawdown
39.83%
18.75%
2.12x
Sharpe Ratio
0.20
0.93
-0.73
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.97
Similar to market
Medium Volatility
Annualized Alpha
-8.15%
Negative Alpha
Poor
Information Ratio
-0.31
Moderate IR
Fair
Correlation Coeff.
0.49
Low Correlation
Weak Link
R-Squared
23.71%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
88.70%
Captures part of up moves
Down Capture Ratio
96.56%
Falls less than market