Stock vs. Benchmark Comparison
Data updated: 2025-05-06 20:42 UTC
塔吉特 (TGT)
标普500 (SPY)
📈 Cumulative Return
-38.71%
vs Benchmark 13.00%
📊 Volatility (Ann.)
40.2%
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
-48.74%
Beta
0.78
Ann. Alpha
-40.44%
Information Ratio
-1.31
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 54.69%.
- The stock showed negative stock selection ability, with an annualized Alpha of -40.44%.
- A low Beta value (0.78) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.31) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TGT
SPY
Excess/Diff.
Total Return
-38.71%
13.00%
-51.71%
Annualized Return
-33.42%
15.32%
-48.74%
Risk Metrics
Metric
TGT
SPY
Ratio/Diff.
Annualized Volatility
40.24%
20.05%
2.01x
Max Drawdown
44.32%
18.76%
2.36x
Sharpe Ratio
-0.91
0.61
-1.52
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.78
Lower than market
Low Volatility
Annualized Alpha
-40.44%
Negative Alpha
Poor
Information Ratio
-1.31
Low IR
Poor
Correlation Coeff.
0.39
Low Correlation
Weak Link
R-Squared
15.10%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
35.13%
Captures part of up moves
Down Capture Ratio
85.45%
Falls less than market