Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:16 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
69.22%
vs Benchmark 24.38%
📊 Volatility (Ann.)
33.1%
Benchmark 19.9%
⚠️ 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
52.17%
Beta
1.24
Ann. Alpha
33.16%
Information Ratio
2.33
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 34.34%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 33.16%.
- A high Beta value (1.24) 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 (2.33) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
C
SPY
Excess/Diff.
Total Return
69.22%
24.38%
44.83%
Annualized Return
79.11%
26.95%
52.17%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
33.07%
19.93%
1.66x
Max Drawdown
31.77%
18.75%
1.69x
Sharpe Ratio
2.30
1.20
1.10
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.24
Higher than market
High Volatility
Annualized Alpha
33.16%
Positive Alpha
Good
Information Ratio
2.33
High IR
Excellent
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.24%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
143.04%
Outperforms in up markets
Down Capture Ratio
114.55%
Falls more than market