Stock vs. Benchmark Comparison
Data updated: 2025-06-21 11:08 UTC
联邦快递 (FDX)
标普500 (SPY)
📈 Cumulative Return
-7.85%
vs Benchmark 11.68%
📊 Volatility (Ann.)
37.2%
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
-15.31%
Beta
0.92
Ann. Alpha
-12.54%
Information Ratio
-0.48
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 14.36%.
- The stock showed negative stock selection ability, with an annualized Alpha of -12.54%.
- A Beta value (0.92) 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.
- 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
FDX
SPY
Excess/Diff.
Total Return
-7.85%
11.68%
-19.53%
Annualized Return
-1.26%
14.05%
-15.31%
Risk Metrics
Metric
FDX
SPY
Ratio/Diff.
Annualized Volatility
37.15%
20.43%
1.82x
Max Drawdown
35.85%
18.76%
1.91x
Sharpe Ratio
-0.11
0.54
-0.66
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
-12.54%
Negative Alpha
Poor
Information Ratio
-0.48
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
25.71%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
94.16%
Captures part of up moves
Down Capture Ratio
108.63%
Falls more than market