Stock vs. Benchmark Comparison
Data updated: 2025-09-24 03:34 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
65.07%
vs Benchmark 18.13%
📊 Volatility (Ann.)
33.1%
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
54.10%
Beta
1.39
Ann. Alpha
34.88%
Information Ratio
2.63
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 37.01%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 34.88%.
- A high Beta value (1.39) 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 (2.63) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
GS
SPY
Excess/Diff.
Total Return
65.07%
18.13%
46.94%
Annualized Return
74.53%
20.43%
54.10%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
33.07%
19.44%
1.70x
Max Drawdown
30.90%
18.76%
1.65x
Sharpe Ratio
2.16
0.90
1.27
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.39
Higher than market
High Volatility
Annualized Alpha
34.88%
Positive Alpha
Good
Information Ratio
2.63
High IR
Excellent
Correlation Coeff.
0.82
Highly Correlated
Strong Link
R-Squared
66.57%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
164.87%
Outperforms in up markets
Down Capture Ratio
134.66%
Falls more than market