Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:30 UTC
联邦快递 (FDX)
标普500 (SPY)
📈 Cumulative Return
-15.46%
vs Benchmark 13.00%
📊 Volatility (Ann.)
36.5%
Benchmark 20.0%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-24.97%
Beta
0.86
Ann. Alpha
-20.11%
Information Ratio
-0.77
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 24.30%.
- The stock showed negative stock selection ability, with an annualized Alpha of -20.11%.
- A Beta value (0.86) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.77) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
FDX
SPY
Excess/Diff.
Total Return
-15.46%
13.00%
-28.46%
Annualized Return
-9.65%
15.32%
-24.97%
Risk Metrics
Metric
FDX
SPY
Ratio/Diff.
Annualized Volatility
36.48%
20.05%
1.82x
Max Drawdown
35.85%
18.76%
1.91x
Sharpe Ratio
-0.35
0.61
-0.96
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
-20.11%
Negative Alpha
Poor
Information Ratio
-0.77
Low IR
Poor
Correlation Coeff.
0.47
Low Correlation
Weak Link
R-Squared
22.49%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
76.32%
Captures part of up moves
Down Capture Ratio
99.50%
Falls less than market