Stock vs. Benchmark Comparison
Data updated: 2025-06-20 12:53 UTC
苹果 (AAPL)
标普500 (SPY)
Cumulative Return
-7.37%
vs Benchmark 11.68%
Volatility (Ann.)
32.2%
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
-16.58%
Beta
1.22
Ann. Alpha
-16.99%
Information Ratio
-0.79
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 15.65%.
- The stock showed negative stock selection ability, with an annualized Alpha of -16.99%.
- A high Beta value (1.22) 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 negative Information Ratio (-0.79) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AAPL
SPY
Excess/Diff.
Total Return
-7.37%
11.68%
-19.05%
Annualized Return
-2.53%
14.05%
-16.58%
Risk Metrics
Metric
AAPL
SPY
Ratio/Diff.
Annualized Volatility
32.25%
20.43%
1.58x
Max Drawdown
33.36%
18.76%
1.78x
Sharpe Ratio
-0.17
0.54
-0.71
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.22
Higher than market
High Volatility
Annualized Alpha
-16.99%
Negative Alpha
Poor
Information Ratio
-0.79
Low IR
Poor
Correlation Coeff.
0.77
Moderately Correlated
Clear Link
R-Squared
59.85%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
100.38%
Outperforms in up markets
Down Capture Ratio
117.09%
Falls more than market