Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
洛克希德马丁 (LMT)
标普500 (SPY)
📈 Cumulative Return
-19.91%
vs Benchmark 19.31%
📊 Volatility (Ann.)
26.5%
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
-38.87%
Beta
0.20
Ann. Alpha
-20.21%
Information Ratio
-1.26
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 38.28%.
- The stock showed negative stock selection ability, with an annualized Alpha of -20.21%.
- A low Beta value (0.20) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.26) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
LMT
SPY
Excess/Diff.
Total Return
-19.91%
19.31%
-39.21%
Annualized Return
-17.06%
21.81%
-38.87%
Risk Metrics
Metric
LMT
SPY
Ratio/Diff.
Annualized Volatility
26.46%
20.17%
1.31x
Max Drawdown
31.81%
18.75%
1.70x
Sharpe Ratio
-0.76
0.93
-1.69
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.20
Lower than market
Low Volatility
Annualized Alpha
-20.21%
Negative Alpha
Poor
Information Ratio
-1.26
Low IR
Poor
Correlation Coeff.
0.15
Weakly Correlated
Weak Link
R-Squared
2.23%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-2.68%
Moves opposite in up markets
Down Capture Ratio
17.87%
Falls less than market