Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:12 UTC
沃尔玛 (WMT)
标普500 (SPY)
📈 Cumulative Return
56.62%
vs Benchmark 24.38%
📊 Volatility (Ann.)
24.2%
Benchmark 19.9%
⚠️ 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
34.56%
Beta
0.64
Ann. Alpha
38.79%
Information Ratio
1.58
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 24.02%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 38.79%.
- A low Beta value (0.64) 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 high Information Ratio (1.58) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
WMT
SPY
Excess/Diff.
Total Return
56.62%
24.38%
32.24%
Annualized Return
61.51%
26.95%
34.56%
Risk Metrics
Metric
WMT
SPY
Ratio/Diff.
Annualized Volatility
24.21%
19.93%
1.21x
Max Drawdown
21.93%
18.75%
1.17x
Sharpe Ratio
2.42
1.20
1.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.64
Lower than market
Low Volatility
Annualized Alpha
38.79%
Positive Alpha
Good
Information Ratio
1.58
High IR
Excellent
Correlation Coeff.
0.52
Moderately Correlated
Clear Link
R-Squared
27.43%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
72.53%
Captures part of up moves
Down Capture Ratio
36.42%
Falls less than market