Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:39 UTC
联合健康 (UNH)
标普500 (SPY)
📈 Cumulative Return
-18.61%
vs Benchmark 10.68%
📊 Volatility (Ann.)
37.5%
Benchmark 20.0%
⚠️ 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
-25.30%
Beta
0.21
Ann. Alpha
-14.58%
Information Ratio
-0.63
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 25.26%.
- The stock showed negative stock selection ability, with an annualized Alpha of -14.58%.
- A low Beta value (0.21) 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 (-0.63) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
UNH
SPY
Excess/Diff.
Total Return
-18.61%
10.68%
-29.29%
Annualized Return
-12.36%
12.94%
-25.30%
Risk Metrics
Metric
UNH
SPY
Ratio/Diff.
Annualized Volatility
37.46%
20.03%
1.87x
Max Drawdown
36.39%
18.76%
1.94x
Sharpe Ratio
-0.41
0.50
-0.91
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.21
Lower than market
Low Volatility
Annualized Alpha
-14.58%
Negative Alpha
Poor
Information Ratio
-0.63
Low IR
Poor
Correlation Coeff.
0.11
Weakly Correlated
Weak Link
R-Squared
1.27%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
10.03%
Captures part of up moves
Down Capture Ratio
25.77%
Falls less than market