Stock vs. Benchmark Comparison
Data updated: 2025-10-15 06:13 UTC
福特 (F)
标普500 (SPY)
📈 Cumulative Return
16.97%
vs Benchmark 15.65%
📊 Volatility (Ann.)
32.5%
Benchmark 19.6%
⚠️ 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
5.44%
Beta
0.84
Ann. Alpha
7.48%
Information Ratio
0.19
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.50%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 7.48%.
- A low Beta value (0.84) 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
F
SPY
Excess/Diff.
Total Return
16.97%
15.65%
1.32%
Annualized Return
23.37%
17.93%
5.44%
Risk Metrics
Metric
F
SPY
Ratio/Diff.
Annualized Volatility
32.47%
19.61%
1.66x
Max Drawdown
21.32%
18.76%
1.14x
Sharpe Ratio
0.63
0.76
-0.13
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
7.48%
Positive Alpha
Good
Information Ratio
0.19
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
25.53%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
83.56%
Captures part of up moves
Down Capture Ratio
75.04%
Falls less than market