Stock vs. Benchmark Comparison
Data updated: 2025-09-26 06:08 UTC
雪佛龙 (CVX)
标普500 (SPY)
📈 Cumulative Return
13.95%
vs Benchmark 16.58%
📊 Volatility (Ann.)
24.8%
Benchmark 19.4%
⚠️ 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
-1.26%
Beta
0.65
Ann. Alpha
5.04%
Information Ratio
-0.06
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 1.07%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.04%.
- A low Beta value (0.65) 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
13.95%
16.58%
-2.64%
Annualized Return
17.58%
18.85%
-1.26%
Risk Metrics
Metric
CVX
SPY
Ratio/Diff.
Annualized Volatility
24.76%
19.45%
1.27x
Max Drawdown
20.64%
18.76%
1.10x
Sharpe Ratio
0.59
0.81
-0.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.65
Lower than market
Low Volatility
Annualized Alpha
5.04%
Positive Alpha
Good
Information Ratio
-0.06
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
26.32%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
43.82%
Captures part of up moves
Down Capture Ratio
33.52%
Falls less than market