Stock vs. Benchmark Comparison
Data updated: 2025-05-06 15:48 UTC
谷歌 (GOOGL)
标普500 (SPY)
📈 Cumulative Return
-0.98%
vs Benchmark 13.00%
📊 Volatility (Ann.)
29.9%
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
-11.79%
Beta
1.04
Ann. Alpha
-10.68%
Information Ratio
-0.55
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 10.74%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.68%.
- A Beta value (1.04) 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 negative Information Ratio (-0.55) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
GOOGL
SPY
Excess/Diff.
Total Return
-0.98%
13.00%
-13.98%
Annualized Return
3.53%
15.32%
-11.79%
Risk Metrics
Metric
GOOGL
SPY
Ratio/Diff.
Annualized Volatility
29.91%
20.05%
1.49x
Max Drawdown
29.80%
18.76%
1.59x
Sharpe Ratio
0.02
0.61
-0.60
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.04
Similar to market
Medium Volatility
Annualized Alpha
-10.68%
Negative Alpha
Poor
Information Ratio
-0.55
Low IR
Poor
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
48.19%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
96.99%
Captures part of up moves
Down Capture Ratio
108.41%
Falls more than market