Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:13 UTC
Meta (META)
标普500 (SPY)
📈 Cumulative Return
57.89%
vs Benchmark 24.38%
📊 Volatility (Ann.)
36.7%
Benchmark 19.9%
⚠️ 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
42.01%
Beta
1.37
Ann. Alpha
21.99%
Information Ratio
1.63
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 28.52%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 21.99%.
- A high Beta value (1.37) 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 (1.63) 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
57.89%
24.38%
33.50%
Annualized Return
68.96%
26.95%
42.01%
Risk Metrics
Metric
META
SPY
Ratio/Diff.
Annualized Volatility
36.73%
19.93%
1.84x
Max Drawdown
34.15%
18.75%
1.82x
Sharpe Ratio
1.80
1.20
0.59
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.37
Higher than market
High Volatility
Annualized Alpha
21.99%
Positive Alpha
Good
Information Ratio
1.63
High IR
Excellent
Correlation Coeff.
0.74
Moderately Correlated
Clear Link
R-Squared
54.98%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
136.63%
Outperforms in up markets
Down Capture Ratio
113.21%
Falls more than market