Stock vs. Benchmark Comparison
Data updated: 2025-06-21 11:22 UTC
辉瑞 (PFE)
标普500 (SPY)
📈 Cumulative Return
-5.36%
vs Benchmark 11.68%
📊 Volatility (Ann.)
24.1%
Benchmark 20.4%
⚠️ 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
-16.66%
Beta
0.40
Ann. Alpha
-7.63%
Information Ratio
-0.65
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 15.73%.
- The stock showed negative stock selection ability, with an annualized Alpha of -7.63%.
- A low Beta value (0.40) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A negative Information Ratio (-0.65) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PFE
SPY
Excess/Diff.
Total Return
-5.36%
11.68%
-17.04%
Annualized Return
-2.61%
14.05%
-16.66%
Risk Metrics
Metric
PFE
SPY
Ratio/Diff.
Annualized Volatility
24.06%
20.43%
1.18x
Max Drawdown
28.99%
18.76%
1.55x
Sharpe Ratio
-0.23
0.54
-0.77
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.40
Lower than market
Low Volatility
Annualized Alpha
-7.63%
Negative Alpha
Poor
Information Ratio
-0.65
Low IR
Poor
Correlation Coeff.
0.34
Low Correlation
Weak Link
R-Squared
11.67%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
28.51%
Captures part of up moves
Down Capture Ratio
35.28%
Falls less than market