Stock vs. Benchmark Comparison
Data updated: 2025-05-06 14:10 UTC
Meta (META)
标普500 (SPY)
📈 Cumulative Return
36.18%
vs Benchmark 13.00%
📊 Volatility (Ann.)
36.2%
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
30.16%
Beta
1.35
Ann. Alpha
19.97%
Information Ratio
1.20
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 23.16%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 19.97%.
- A high Beta value (1.35) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (1.20) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
META
SPY
Excess/Diff.
Total Return
36.18%
13.00%
23.18%
Annualized Return
45.47%
15.32%
30.16%
Risk Metrics
Metric
META
SPY
Ratio/Diff.
Annualized Volatility
36.24%
20.05%
1.81x
Max Drawdown
34.15%
18.76%
1.82x
Sharpe Ratio
1.17
0.61
0.56
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.35
Higher than market
High Volatility
Annualized Alpha
19.97%
Positive Alpha
Good
Information Ratio
1.20
High IR
Excellent
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.05%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
139.93%
Outperforms in up markets
Down Capture Ratio
120.57%
Falls more than market