Stock vs. Benchmark Comparison
Data updated: 2025-09-26 01:39 UTC
台积电 (TSM)
标普500 (SPY)
📈 Cumulative Return
62.38%
vs Benchmark 17.46%
📊 Volatility (Ann.)
42.1%
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
57.97%
Beta
1.34
Ann. Alpha
39.60%
Information Ratio
1.72
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 39.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 39.60%.
- A high Beta value (1.34) 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 (1.72) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TSM
SPY
Excess/Diff.
Total Return
62.38%
17.46%
44.92%
Annualized Return
77.72%
19.74%
57.97%
Risk Metrics
Metric
TSM
SPY
Ratio/Diff.
Annualized Volatility
42.10%
19.44%
2.17x
Max Drawdown
36.87%
18.76%
1.97x
Sharpe Ratio
1.77
0.86
0.91
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.34
Higher than market
High Volatility
Annualized Alpha
39.60%
Positive Alpha
Good
Information Ratio
1.72
High IR
Excellent
Correlation Coeff.
0.62
Moderately Correlated
Clear Link
R-Squared
38.40%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
165.40%
Outperforms in up markets
Down Capture Ratio
132.12%
Falls more than market