Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
61.01%
vs Benchmark 19.31%
📊 Volatility (Ann.)
33.2%
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
48.68%
Beta
1.24
Ann. Alpha
33.50%
Information Ratio
2.17
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 33.54%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 33.50%.
- A high Beta value (1.24) 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 (2.17) 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
61.01%
19.31%
41.71%
Annualized Return
70.49%
21.81%
48.68%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
33.23%
20.17%
1.65x
Max Drawdown
31.77%
18.75%
1.69x
Sharpe Ratio
2.03
0.93
1.10
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.24
Higher than market
High Volatility
Annualized Alpha
33.50%
Positive Alpha
Good
Information Ratio
2.17
High IR
Excellent
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.76%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
142.20%
Outperforms in up markets
Down Capture Ratio
113.55%
Falls more than market