Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:52 UTC
微软 (MSFT)
标普500 (SPY)
📈 Cumulative Return
31.35%
vs Benchmark 22.08%
📊 Volatility (Ann.)
24.9%
Benchmark 19.8%
⚠️ 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
10.99%
Beta
0.93
Ann. Alpha
10.54%
Information Ratio
0.66
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.43%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 10.54%.
- A Beta value (0.93) 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 (0.66) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MSFT
SPY
Excess/Diff.
Total Return
31.35%
22.08%
9.26%
Annualized Return
35.56%
24.57%
10.99%
Risk Metrics
Metric
MSFT
SPY
Ratio/Diff.
Annualized Volatility
24.88%
19.83%
1.25x
Max Drawdown
21.83%
18.75%
1.16x
Sharpe Ratio
1.31
1.09
0.22
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.93
Similar to market
Medium Volatility
Annualized Alpha
10.54%
Positive Alpha
Good
Information Ratio
0.66
High IR
Excellent
Correlation Coeff.
0.74
Moderately Correlated
Clear Link
R-Squared
54.82%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
99.58%
Captures part of up moves
Down Capture Ratio
89.53%
Falls less than market