Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
苹果 (AAPL)
标普500 (SPY)
📈 Cumulative Return
-7.27%
vs Benchmark 19.31%
📊 Volatility (Ann.)
31.7%
Benchmark 20.2%
⚠️ 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
-24.41%
Beta
1.21
Ann. Alpha
-23.36%
Information Ratio
-1.19
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 22.29%.
- The stock showed negative stock selection ability, with an annualized Alpha of -23.36%.
- A high Beta value (1.21) 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 (-1.19) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AAPL
SPY
Excess/Diff.
Total Return
-7.27%
19.31%
-26.58%
Annualized Return
-2.61%
21.81%
-24.41%
Risk Metrics
Metric
AAPL
SPY
Ratio/Diff.
Annualized Volatility
31.66%
20.17%
1.57x
Max Drawdown
33.36%
18.75%
1.78x
Sharpe Ratio
-0.18
0.93
-1.11
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.21
Higher than market
High Volatility
Annualized Alpha
-23.36%
Negative Alpha
Poor
Information Ratio
-1.19
Low IR
Poor
Correlation Coeff.
0.77
Moderately Correlated
Clear Link
R-Squared
59.75%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
89.93%
Captures part of up moves
Down Capture Ratio
112.98%
Falls more than market