Stock vs. Benchmark Comparison
Data updated: 2025-06-22 21:27 UTC
台积电 (TSM)
标普500 (SPY)
📈 Cumulative Return
17.91%
vs Benchmark 9.73%
📊 Volatility (Ann.)
45.8%
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
18.95%
Beta
1.50
Ann. Alpha
10.46%
Information Ratio
0.53
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 15.57%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 10.46%.
- A high Beta value (1.50) 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 (0.53) 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
17.91%
9.73%
8.18%
Annualized Return
31.01%
12.06%
18.95%
Risk Metrics
Metric
TSM
SPY
Ratio/Diff.
Annualized Volatility
45.78%
20.49%
2.23x
Max Drawdown
36.87%
18.76%
1.97x
Sharpe Ratio
0.61
0.44
0.17
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.50
Higher than market
High Volatility
Annualized Alpha
10.46%
Positive Alpha
Good
Information Ratio
0.53
High IR
Excellent
Correlation Coeff.
0.67
Moderately Correlated
Clear Link
R-Squared
44.98%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
176.59%
Outperforms in up markets
Down Capture Ratio
169.37%
Falls more than market