Stock vs. Benchmark Comparison
Data updated: 2025-09-24 00:40 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
68.14%
vs Benchmark 18.57%
📊 Volatility (Ann.)
32.5%
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
56.77%
Beta
1.26
Ann. Alpha
39.83%
Information Ratio
2.59
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 38.41%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 39.83%.
- A high Beta value (1.26) 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 (2.59) 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
68.14%
18.57%
49.57%
Annualized Return
77.65%
20.88%
56.77%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
32.50%
19.43%
1.67x
Max Drawdown
31.77%
18.76%
1.69x
Sharpe Ratio
2.30
0.92
1.38
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.26
Higher than market
High Volatility
Annualized Alpha
39.83%
Positive Alpha
Good
Information Ratio
2.59
High IR
Excellent
Correlation Coeff.
0.76
Moderately Correlated
Clear Link
R-Squared
57.12%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
150.50%
Outperforms in up markets
Down Capture Ratio
115.45%
Falls more than market