Stock vs. Benchmark Comparison
Data updated: 2025-09-24 05:03 UTC
富国银行 (WFC)
标普500 (SPY)
📈 Cumulative Return
53.21%
vs Benchmark 18.13%
📊 Volatility (Ann.)
32.1%
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
41.04%
Beta
1.08
Ann. Alpha
32.25%
Information Ratio
1.68
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 29.25%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 32.25%.
- A Beta value (1.08) 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 high Information Ratio (1.68) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
WFC
SPY
Excess/Diff.
Total Return
53.21%
18.13%
35.07%
Annualized Return
61.47%
20.43%
41.04%
Risk Metrics
Metric
WFC
SPY
Ratio/Diff.
Annualized Volatility
32.08%
19.44%
1.65x
Max Drawdown
24.74%
18.76%
1.32x
Sharpe Ratio
1.82
0.90
0.93
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.08
Similar to market
Medium Volatility
Annualized Alpha
32.25%
Positive Alpha
Good
Information Ratio
1.68
High IR
Excellent
Correlation Coeff.
0.65
Moderately Correlated
Clear Link
R-Squared
42.42%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
128.97%
Outperforms in up markets
Down Capture Ratio
100.11%
Falls more than market