Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:16 UTC
雪佛龙 (CVX)
标普500 (SPY)
📈 Cumulative Return
13.79%
vs Benchmark 24.38%
📊 Volatility (Ann.)
24.7%
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
-9.55%
Beta
0.67
Ann. Alpha
0.05%
Information Ratio
-0.44
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.79%.
- The stock's Alpha is close to zero, indicating returns are mostly driven by market movements rather than specific factors.
- A low Beta value (0.67) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
CVX
SPY
Excess/Diff.
Total Return
13.79%
24.38%
-10.59%
Annualized Return
17.40%
26.95%
-9.55%
Risk Metrics
Metric
CVX
SPY
Ratio/Diff.
Annualized Volatility
24.68%
19.93%
1.24x
Max Drawdown
20.64%
18.75%
1.10x
Sharpe Ratio
0.58
1.20
-0.62
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.67
Lower than market
Low Volatility
Annualized Alpha
0.05%
Near Zero Alpha
Neutral
Information Ratio
-0.44
Moderate IR
Fair
Correlation Coeff.
0.54
Moderately Correlated
Clear Link
R-Squared
29.29%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
50.04%
Captures part of up moves
Down Capture Ratio
45.21%
Falls less than market