Stock vs. Benchmark Comparison
Data updated: 2025-06-21 16:50 UTC
通用电气 (GE)
标普500 (SPY)
📈 Cumulative Return
46.06%
vs Benchmark 9.73%
📊 Volatility (Ann.)
34.0%
Benchmark 20.5%
⚠️ 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
42.96%
Beta
1.14
Ann. Alpha
36.21%
Information Ratio
1.72
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 32.36%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 36.21%.
- A Beta value (1.14) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (1.72) 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
46.06%
9.73%
36.34%
Annualized Return
55.02%
12.06%
42.96%
Risk Metrics
Metric
GE
SPY
Ratio/Diff.
Annualized Volatility
34.01%
20.49%
1.66x
Max Drawdown
21.36%
18.76%
1.14x
Sharpe Ratio
1.53
0.44
1.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.14
Similar to market
Medium Volatility
Annualized Alpha
36.21%
Positive Alpha
Good
Information Ratio
1.72
High IR
Excellent
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
46.96%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
128.84%
Outperforms in up markets
Down Capture Ratio
98.33%
Falls less than market