Stock vs. Benchmark Comparison
Data updated: 2025-09-23 22:19 UTC
苹果 (AAPL)
标普500 (SPY)
📈 Cumulative Return
12.41%
vs Benchmark 18.57%
📊 Volatility (Ann.)
32.5%
Benchmark 19.4%
⚠️ 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
-2.41%
Beta
1.26
Ann. Alpha
-6.65%
Information Ratio
-0.11
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 2.01%.
- The stock showed negative stock selection ability, with an annualized Alpha of -6.65%.
- A high Beta value (1.26) 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
AAPL
SPY
Excess/Diff.
Total Return
12.41%
18.57%
-6.16%
Annualized Return
18.46%
20.88%
-2.41%
Risk Metrics
Metric
AAPL
SPY
Ratio/Diff.
Annualized Volatility
32.52%
19.43%
1.67x
Max Drawdown
33.36%
18.76%
1.78x
Sharpe Ratio
0.48
0.92
-0.44
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.26
Higher than market
High Volatility
Annualized Alpha
-6.65%
Negative Alpha
Poor
Information Ratio
-0.11
Moderate IR
Fair
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.38%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
108.46%
Outperforms in up markets
Down Capture Ratio
112.84%
Falls more than market