Stock vs. Benchmark Comparison
Data updated: 2025-08-07 08:10 UTC
摩根大通 (JPM)
标普500 (SPY)
📈 Cumulative Return
49.60%
vs Benchmark 19.31%
📊 Volatility (Ann.)
27.7%
Benchmark 20.2%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
33.82%
Beta
0.98
Ann. Alpha
28.40%
Information Ratio
1.73
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 24.44%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 28.40%.
- A Beta value (0.98) 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 (1.73) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
JPM
SPY
Excess/Diff.
Total Return
49.60%
19.31%
30.29%
Annualized Return
55.63%
21.81%
33.82%
Risk Metrics
Metric
JPM
SPY
Ratio/Diff.
Annualized Volatility
27.71%
20.17%
1.37x
Max Drawdown
24.42%
18.75%
1.30x
Sharpe Ratio
1.90
0.93
0.97
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.98
Similar to market
Medium Volatility
Annualized Alpha
28.40%
Positive Alpha
Good
Information Ratio
1.73
High IR
Excellent
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
50.44%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
111.54%
Outperforms in up markets
Down Capture Ratio
86.38%
Falls less than market