Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:09 UTC
通用电气 (GE)
标普500 (SPY)
📈 Cumulative Return
29.33%
vs Benchmark 13.00%
📊 Volatility (Ann.)
34.3%
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
22.02%
Beta
1.17
Ann. Alpha
16.28%
Information Ratio
0.87
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 17.42%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 16.28%.
- A high Beta value (1.17) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.87) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
GE
SPY
Excess/Diff.
Total Return
29.33%
13.00%
16.33%
Annualized Return
37.34%
15.32%
22.02%
Risk Metrics
Metric
GE
SPY
Ratio/Diff.
Annualized Volatility
34.33%
20.05%
1.71x
Max Drawdown
21.36%
18.76%
1.14x
Sharpe Ratio
1.00
0.61
0.39
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.17
Higher than market
High Volatility
Annualized Alpha
16.28%
Positive Alpha
Good
Information Ratio
0.87
High IR
Excellent
Correlation Coeff.
0.68
Moderately Correlated
Clear Link
R-Squared
46.60%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
125.72%
Outperforms in up markets
Down Capture Ratio
110.48%
Falls more than market