Stock vs. Benchmark Comparison
Data updated: 2025-09-24 11:52 UTC
美国银行 (BAC)
标普500 (SPY)
📈 Cumulative Return
31.42%
vs Benchmark 18.13%
📊 Volatility (Ann.)
27.8%
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
16.33%
Beta
1.00
Ann. Alpha
13.60%
Information Ratio
0.82
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 12.68%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 13.60%.
- A Beta value (1.00) 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 (0.82) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
BAC
SPY
Excess/Diff.
Total Return
31.42%
18.13%
13.29%
Annualized Return
36.76%
20.43%
16.33%
Risk Metrics
Metric
BAC
SPY
Ratio/Diff.
Annualized Volatility
27.76%
19.44%
1.43x
Max Drawdown
27.51%
18.76%
1.47x
Sharpe Ratio
1.22
0.90
0.32
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.00
Similar to market
Medium Volatility
Annualized Alpha
13.60%
Positive Alpha
Good
Information Ratio
0.82
High IR
Excellent
Correlation Coeff.
0.70
Moderately Correlated
Clear Link
R-Squared
48.88%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
100.88%
Outperforms in up markets
Down Capture Ratio
85.75%
Falls less than market