Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
联邦快递 (FDX)
标普500 (SPY)
📈 Cumulative Return
-22.24%
vs Benchmark 19.31%
📊 Volatility (Ann.)
35.0%
Benchmark 20.2%
⚠️ 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
-39.10%
Beta
0.96
Ann. Alpha
-31.63%
Information Ratio
-1.34
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 38.56%.
- The stock showed negative stock selection ability, with an annualized Alpha of -31.63%.
- A Beta value (0.96) 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 (-1.34) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
FDX
SPY
Excess/Diff.
Total Return
-22.24%
19.31%
-41.55%
Annualized Return
-17.29%
21.81%
-39.10%
Risk Metrics
Metric
FDX
SPY
Ratio/Diff.
Annualized Volatility
34.97%
20.17%
1.73x
Max Drawdown
34.41%
18.75%
1.83x
Sharpe Ratio
-0.58
0.93
-1.51
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.96
Similar to market
Medium Volatility
Annualized Alpha
-31.63%
Negative Alpha
Poor
Information Ratio
-1.34
Low IR
Poor
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
30.89%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
86.41%
Captures part of up moves
Down Capture Ratio
127.14%
Falls more than market