Stock vs. Benchmark Comparison
Data updated: 2025-06-20 01:20 UTC
英伟达 (NVDA)
标普500 (SPY)
📈 Cumulative Return
13.43%
vs Benchmark 11.68%
📊 Volatility (Ann.)
58.5%
Benchmark 20.4%
⚠️ 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
20.54%
Beta
2.08
Ann. Alpha
2.43%
Information Ratio
0.45
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 16.51%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 2.43%.
- A high Beta value (2.08) 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
13.43%
11.68%
1.75%
Annualized Return
34.59%
14.05%
20.54%
Risk Metrics
Metric
NVDA
SPY
Ratio/Diff.
Annualized Volatility
58.47%
20.43%
2.86x
Max Drawdown
36.89%
18.76%
1.97x
Sharpe Ratio
0.54
0.54
0.00
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.08
Higher than market
High Volatility
Annualized Alpha
2.43%
Positive Alpha
Good
Information Ratio
0.45
Moderate IR
Fair
Correlation Coeff.
0.73
Moderately Correlated
Clear Link
R-Squared
52.73%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
247.22%
Outperforms in up markets
Down Capture Ratio
250.18%
Falls more than market