Stock vs. Benchmark Comparison
Data updated: 2025-05-10 21:37 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
29.68%
vs Benchmark 10.51%
📊 Volatility (Ann.)
34.0%
Benchmark 20.0%
⚠️ 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
24.67%
Beta
1.32
Ann. Alpha
17.25%
Information Ratio
1.11
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 19.72%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 17.25%.
- A high Beta value (1.32) 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 (1.11) 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
29.68%
10.51%
19.18%
Annualized Return
37.42%
12.76%
24.67%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
33.99%
20.02%
1.70x
Max Drawdown
30.90%
18.76%
1.65x
Sharpe Ratio
1.01
0.49
0.53
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.32
Higher than market
High Volatility
Annualized Alpha
17.25%
Positive Alpha
Good
Information Ratio
1.11
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
60.73%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
140.79%
Outperforms in up markets
Down Capture Ratio
124.54%
Falls more than market