Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:15 UTC
奈飞 (NFLX)
标普500 (SPY)
📈 Cumulative Return
100.67%
vs Benchmark 13.00%
📊 Volatility (Ann.)
32.5%
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
96.62%
Beta
0.99
Ann. Alpha
84.04%
Information Ratio
3.76
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 60.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 84.04%.
- A Beta value (0.99) 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 high Information Ratio (3.76) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
NFLX
SPY
Excess/Diff.
Total Return
100.67%
13.00%
87.66%
Annualized Return
111.94%
15.32%
96.62%
Risk Metrics
Metric
NFLX
SPY
Ratio/Diff.
Annualized Volatility
32.50%
20.05%
1.62x
Max Drawdown
19.15%
18.76%
1.02x
Sharpe Ratio
3.35
0.61
2.74
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.99
Similar to market
Medium Volatility
Annualized Alpha
84.04%
Positive Alpha
Good
Information Ratio
3.76
High IR
Excellent
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
37.51%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
154.28%
Outperforms in up markets
Down Capture Ratio
95.61%
Falls less than market