Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:28 UTC
英伟达 (NVDA)
标普500 (SPY)
📈 Cumulative Return
32.67%
vs Benchmark 13.00%
📊 Volatility (Ann.)
59.6%
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
43.20%
Beta
2.09
Ann. Alpha
17.72%
Information Ratio
0.91
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 31.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 17.72%.
- A high Beta value (2.09) 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 high Information Ratio (0.91) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NVDA
SPY
Excess/Diff.
Total Return
32.67%
13.00%
19.67%
Annualized Return
58.51%
15.32%
43.20%
Risk Metrics
Metric
NVDA
SPY
Ratio/Diff.
Annualized Volatility
59.59%
20.05%
2.97x
Max Drawdown
36.88%
18.76%
1.97x
Sharpe Ratio
0.93
0.61
0.32
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.09
Higher than market
High Volatility
Annualized Alpha
17.72%
Positive Alpha
Good
Information Ratio
0.91
High IR
Excellent
Correlation Coeff.
0.70
Moderately Correlated
Clear Link
R-Squared
49.41%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
253.02%
Outperforms in up markets
Down Capture Ratio
241.96%
Falls more than market