Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:20 UTC
塔吉特 (TGT)
标普500 (SPY)
📈 Cumulative Return
-18.23%
vs Benchmark 24.38%
📊 Volatility (Ann.)
40.6%
Benchmark 19.9%
⚠️ 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
-37.94%
Beta
0.86
Ann. Alpha
-27.44%
Information Ratio
-1.03
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 35.38%.
- The stock showed negative stock selection ability, with an annualized Alpha of -27.44%.
- A Beta value (0.86) 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 negative Information Ratio (-1.03) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TGT
SPY
Excess/Diff.
Total Return
-18.23%
24.38%
-42.61%
Annualized Return
-11.00%
26.95%
-37.94%
Risk Metrics
Metric
TGT
SPY
Ratio/Diff.
Annualized Volatility
40.56%
19.93%
2.03x
Max Drawdown
43.89%
18.75%
2.34x
Sharpe Ratio
-0.35
1.20
-1.55
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
-27.44%
Negative Alpha
Poor
Information Ratio
-1.03
Low IR
Poor
Correlation Coeff.
0.42
Low Correlation
Weak Link
R-Squared
17.65%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
70.11%
Captures part of up moves
Down Capture Ratio
103.52%
Falls more than market