Stock vs. Benchmark Comparison
Data updated: 2025-07-30 18:19 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
49.76%
vs Benchmark 18.14%
📊 Volatility (Ann.)
34.3%
Benchmark 20.2%
⚠️ 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
38.30%
Beta
1.35
Ann. Alpha
23.33%
Information Ratio
1.76
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 27.50%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 23.33%.
- A high Beta value (1.35) 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 (1.76) 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
49.76%
18.14%
31.62%
Annualized Return
58.93%
20.62%
38.30%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
34.26%
20.24%
1.69x
Max Drawdown
30.90%
18.75%
1.65x
Sharpe Ratio
1.63
0.87
0.76
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.35
Higher than market
High Volatility
Annualized Alpha
23.33%
Positive Alpha
Good
Information Ratio
1.76
High IR
Excellent
Correlation Coeff.
0.80
Moderately Correlated
Clear Link
R-Squared
63.95%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
149.66%
Outperforms in up markets
Down Capture Ratio
129.24%
Falls more than market