Stock vs. Benchmark Comparison
Data updated: 2025-09-25 21:07 UTC
联合健康 (UNH)
标普500 (SPY)
📈 Cumulative Return
-37.32%
vs Benchmark 17.46%
📊 Volatility (Ann.)
48.8%
Benchmark 19.4%
⚠️ 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
-48.79%
Beta
0.27
Ann. Alpha
-32.41%
Information Ratio
-0.96
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 52.11%.
- The stock showed negative stock selection ability, with an annualized Alpha of -32.41%.
- A low Beta value (0.27) 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 (-0.96) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
UNH
SPY
Excess/Diff.
Total Return
-37.32%
17.46%
-54.78%
Annualized Return
-29.05%
19.74%
-48.79%
Risk Metrics
Metric
UNH
SPY
Ratio/Diff.
Annualized Volatility
48.82%
19.44%
2.51x
Max Drawdown
61.39%
18.76%
3.27x
Sharpe Ratio
-0.66
0.86
-1.52
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.27
Lower than market
Low Volatility
Annualized Alpha
-32.41%
Negative Alpha
Poor
Information Ratio
-0.96
Low IR
Poor
Correlation Coeff.
0.11
Weakly Correlated
Weak Link
R-Squared
1.14%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-3.52%
Moves opposite in up markets
Down Capture Ratio
36.84%
Falls less than market