Stock vs. Benchmark Comparison
Data updated: 2025-09-23 22:23 UTC
通用电气 (GE)
标普500 (SPY)
📈 Cumulative Return
62.74%
vs Benchmark 18.57%
📊 Volatility (Ann.)
31.9%
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
50.68%
Beta
1.09
Ann. Alpha
39.57%
Information Ratio
2.12
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 34.93%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 39.57%.
- A Beta value (1.09) 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 (2.12) 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
62.74%
18.57%
44.17%
Annualized Return
71.56%
20.88%
50.68%
Risk Metrics
Metric
GE
SPY
Ratio/Diff.
Annualized Volatility
31.85%
19.43%
1.64x
Max Drawdown
21.36%
18.76%
1.14x
Sharpe Ratio
2.15
0.92
1.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.09
Similar to market
Medium Volatility
Annualized Alpha
39.57%
Positive Alpha
Good
Information Ratio
2.12
High IR
Excellent
Correlation Coeff.
0.66
Moderately Correlated
Clear Link
R-Squared
44.21%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
126.80%
Outperforms in up markets
Down Capture Ratio
90.56%
Falls less than market