Stock vs. Benchmark Comparison
Data updated: 2025-05-11 00:37 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
16.77%
vs Benchmark 10.51%
📊 Volatility (Ann.)
33.9%
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
11.03%
Beta
1.20
Ann. Alpha
7.19%
Information Ratio
0.45
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 9.30%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 7.19%.
- A high Beta value (1.20) 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.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
C
SPY
Excess/Diff.
Total Return
16.77%
10.51%
6.26%
Annualized Return
23.79%
12.76%
11.03%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
33.90%
20.02%
1.69x
Max Drawdown
31.86%
18.76%
1.70x
Sharpe Ratio
0.61
0.49
0.13
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.20
Higher than market
High Volatility
Annualized Alpha
7.19%
Positive Alpha
Good
Information Ratio
0.45
Moderate IR
Fair
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
50.18%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
119.63%
Outperforms in up markets
Down Capture Ratio
112.02%
Falls more than market