Stock vs. Benchmark Comparison
Data updated: 2025-06-21 16:13 UTC
英伟达 (NVDA)
标普500 (SPY)
📈 Cumulative Return
6.13%
vs Benchmark 9.73%
📊 Volatility (Ann.)
58.3%
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
13.71%
Beta
2.07
Ann. Alpha
-0.67%
Information Ratio
0.30
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 11.50%.
- The stock's Alpha is close to zero, indicating returns are mostly driven by market movements rather than specific factors.
- A high Beta value (2.07) 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.
- 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
NVDA
SPY
Excess/Diff.
Total Return
6.13%
9.73%
-3.60%
Annualized Return
25.77%
12.06%
13.71%
Risk Metrics
Metric
NVDA
SPY
Ratio/Diff.
Annualized Volatility
58.29%
20.49%
2.85x
Max Drawdown
36.89%
18.76%
1.97x
Sharpe Ratio
0.39
0.44
-0.05
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.07
Higher than market
High Volatility
Annualized Alpha
-0.67%
Near Zero Alpha
Neutral
Information Ratio
0.30
Moderate IR
Fair
Correlation Coeff.
0.73
Moderately Correlated
Clear Link
R-Squared
53.06%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
242.26%
Outperforms in up markets
Down Capture Ratio
247.12%
Falls more than market