Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:18 UTC
埃克森美孚 (XOM)
标普500 (SPY)
📈 Cumulative Return
-4.46%
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
-28.57%
Beta
0.53
Ann. Alpha
-13.28%
Information Ratio
-1.20
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 25.41%.
- The stock showed negative stock selection ability, with an annualized Alpha of -13.28%.
- A low Beta value (0.53) 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 (-1.20) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
XOM
SPY
Excess/Diff.
Total Return
-4.46%
24.38%
-28.84%
Annualized Return
-1.63%
26.95%
-28.57%
Risk Metrics
Metric
XOM
SPY
Ratio/Diff.
Annualized Volatility
24.19%
19.93%
1.21x
Max Drawdown
18.92%
18.75%
1.01x
Sharpe Ratio
-0.19
1.20
-1.39
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.53
Lower than market
Low Volatility
Annualized Alpha
-13.28%
Negative Alpha
Poor
Information Ratio
-1.20
Low IR
Poor
Correlation Coeff.
0.44
Low Correlation
Weak Link
R-Squared
18.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
30.09%
Captures part of up moves
Down Capture Ratio
40.48%
Falls less than market