Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:10 UTC
辉瑞 (PFE)
标普500 (SPY)
📈 Cumulative Return
-8.44%
vs Benchmark 13.00%
📊 Volatility (Ann.)
23.6%
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
-21.21%
Beta
0.37
Ann. Alpha
-10.66%
Information Ratio
-0.82
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 20.24%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.66%.
- A low Beta value (0.37) 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 (-0.82) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PFE
SPY
Excess/Diff.
Total Return
-8.44%
13.00%
-21.44%
Annualized Return
-5.89%
15.32%
-21.21%
Risk Metrics
Metric
PFE
SPY
Ratio/Diff.
Annualized Volatility
23.61%
20.05%
1.18x
Max Drawdown
29.00%
18.76%
1.55x
Sharpe Ratio
-0.38
0.61
-0.99
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.37
Lower than market
Low Volatility
Annualized Alpha
-10.66%
Negative Alpha
Poor
Information Ratio
-0.82
Low IR
Poor
Correlation Coeff.
0.31
Low Correlation
Weak Link
R-Squared
9.60%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
21.58%
Captures part of up moves
Down Capture Ratio
31.66%
Falls less than market