Stock vs. Benchmark Comparison
Data updated: 2025-05-06 17:09 UTC
福特 (F)
标普500 (SPY)
📈 Cumulative Return
-12.40%
vs Benchmark 13.00%
📊 Volatility (Ann.)
37.8%
Benchmark 20.0%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-21.08%
Beta
0.87
Ann. Alpha
-16.80%
Information Ratio
-0.63
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 20.11%.
- The stock showed negative stock selection ability, with an annualized Alpha of -16.80%.
- A Beta value (0.87) 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 negative Information Ratio (-0.63) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
F
SPY
Excess/Diff.
Total Return
-12.40%
13.00%
-25.40%
Annualized Return
-5.76%
15.32%
-21.08%
Risk Metrics
Metric
F
SPY
Ratio/Diff.
Annualized Volatility
37.76%
20.05%
1.88x
Max Drawdown
36.52%
18.76%
1.95x
Sharpe Ratio
-0.23
0.61
-0.85
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.87
Similar to market
Medium Volatility
Annualized Alpha
-16.80%
Negative Alpha
Poor
Information Ratio
-0.63
Low IR
Poor
Correlation Coeff.
0.46
Low Correlation
Weak Link
R-Squared
21.51%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
78.15%
Captures part of up moves
Down Capture Ratio
96.97%
Falls less than market