Stock vs. Benchmark Comparison
Data updated: 2025-06-21 01:06 UTC
奈飞 (NFLX)
标普500 (SPY)
📈 Cumulative Return
86.47%
vs Benchmark 11.68%
📊 Volatility (Ann.)
32.5%
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
82.82%
Beta
0.92
Ann. Alpha
74.56%
Information Ratio
3.12
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 54.46%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 74.56%.
- 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.
- A high Information Ratio (3.12) 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
86.47%
11.68%
74.79%
Annualized Return
96.87%
14.05%
82.82%
Risk Metrics
Metric
NFLX
SPY
Ratio/Diff.
Annualized Volatility
32.47%
20.43%
1.59x
Max Drawdown
19.15%
18.76%
1.02x
Sharpe Ratio
2.89
0.54
2.35
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
74.56%
Positive Alpha
Good
Information Ratio
3.12
High IR
Excellent
Correlation Coeff.
0.58
Moderately Correlated
Clear Link
R-Squared
33.29%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
134.74%
Outperforms in up markets
Down Capture Ratio
81.61%
Falls less than market