Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:59 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
15.80%
vs Benchmark 10.68%
📊 Volatility (Ann.)
33.9%
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
9.84%
Beta
1.20
Ann. Alpha
6.11%
Information Ratio
0.40
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.32%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.11%.
- 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
15.80%
10.68%
5.12%
Annualized Return
22.77%
12.94%
9.84%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
33.94%
20.03%
1.69x
Max Drawdown
31.86%
18.76%
1.70x
Sharpe Ratio
0.58
0.50
0.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.20
Higher than market
High Volatility
Annualized Alpha
6.11%
Positive Alpha
Good
Information Ratio
0.40
Moderate IR
Fair
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
50.07%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
118.54%
Outperforms in up markets
Down Capture Ratio
111.88%
Falls more than market