Stock vs. Benchmark Comparison
Data updated: 2025-06-21 19:14 UTC
塔吉特 (TGT)
标普500 (SPY)
📈 Cumulative Return
-30.60%
vs Benchmark 9.73%
📊 Volatility (Ann.)
40.5%
Benchmark 20.5%
⚠️ 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
-36.57%
Beta
0.86
Ann. Alpha
-31.59%
Information Ratio
-1.00
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 39.33%.
- The stock showed negative stock selection ability, with an annualized Alpha of -31.59%.
- 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 (-1.00) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TGT
SPY
Excess/Diff.
Total Return
-30.60%
9.73%
-40.32%
Annualized Return
-24.51%
12.06%
-36.57%
Risk Metrics
Metric
TGT
SPY
Ratio/Diff.
Annualized Volatility
40.51%
20.49%
1.98x
Max Drawdown
43.89%
18.76%
2.34x
Sharpe Ratio
-0.68
0.44
-1.12
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
-31.59%
Negative Alpha
Poor
Information Ratio
-1.00
Low IR
Poor
Correlation Coeff.
0.44
Low Correlation
Weak Link
R-Squared
19.06%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
60.58%
Captures part of up moves
Down Capture Ratio
97.15%
Falls less than market