Stock vs. Benchmark Comparison
Data updated: 2025-09-26 22:10 UTC
洛克希德马丁 (LMT)
标普500 (SPY)
📈 Cumulative Return
-13.94%
vs Benchmark 16.58%
📊 Volatility (Ann.)
26.8%
Benchmark 19.4%
⚠️ 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
-29.63%
Beta
0.22
Ann. Alpha
-14.09%
Information Ratio
-0.97
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 28.57%.
- The stock showed negative stock selection ability, with an annualized Alpha of -14.09%.
- A low Beta value (0.22) 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 (-0.97) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
LMT
SPY
Excess/Diff.
Total Return
-13.94%
16.58%
-30.53%
Annualized Return
-10.79%
18.85%
-29.63%
Risk Metrics
Metric
LMT
SPY
Ratio/Diff.
Annualized Volatility
26.78%
19.45%
1.38x
Max Drawdown
31.81%
18.76%
1.70x
Sharpe Ratio
-0.51
0.81
-1.33
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.22
Lower than market
Low Volatility
Annualized Alpha
-14.09%
Negative Alpha
Poor
Information Ratio
-0.97
Low IR
Poor
Correlation Coeff.
0.16
Weakly Correlated
Weak Link
R-Squared
2.52%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
3.63%
Captures part of up moves
Down Capture Ratio
17.98%
Falls less than market