Stock vs. Benchmark Comparison
Data updated: 2025-06-21 21:38 UTC
SoFi (SOFI)
标普500 (SPY)
📈 Cumulative Return
136.76%
vs Benchmark 9.73%
📊 Volatility (Ann.)
61.6%
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
174.41%
Beta
2.14
Ann. Alpha
124.81%
Information Ratio
3.55
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 93.70%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 124.81%.
- A high Beta value (2.14) 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 (3.55) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
SOFI
SPY
Excess/Diff.
Total Return
136.76%
9.73%
127.03%
Annualized Return
186.47%
12.06%
174.41%
Risk Metrics
Metric
SOFI
SPY
Ratio/Diff.
Annualized Volatility
61.55%
20.49%
3.00x
Max Drawdown
47.31%
18.76%
2.52x
Sharpe Ratio
2.98
0.44
2.54
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.14
Higher than market
High Volatility
Annualized Alpha
124.81%
Positive Alpha
Good
Information Ratio
3.55
High IR
Excellent
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
50.53%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
264.34%
Outperforms in up markets
Down Capture Ratio
185.60%
Falls more than market