Stock vs. Benchmark Comparison
Data updated: 2025-06-22 21:56 UTC
花旗集团 (C)
标普500 (SPY)
📈 Cumulative Return
32.36%
vs Benchmark 9.73%
📊 Volatility (Ann.)
34.2%
Benchmark 20.5%
⚠️ 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
28.46%
Beta
1.22
Ann. Alpha
22.32%
Information Ratio
1.20
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 22.56%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 22.32%.
- A high Beta value (1.22) 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 (1.20) 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
32.36%
9.73%
22.63%
Annualized Return
40.52%
12.06%
28.46%
Risk Metrics
Metric
C
SPY
Ratio/Diff.
Annualized Volatility
34.19%
20.49%
1.67x
Max Drawdown
31.86%
18.76%
1.70x
Sharpe Ratio
1.10
0.44
0.65
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.22
Higher than market
High Volatility
Annualized Alpha
22.32%
Positive Alpha
Good
Information Ratio
1.20
High IR
Excellent
Correlation Coeff.
0.73
Moderately Correlated
Clear Link
R-Squared
53.34%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
130.02%
Outperforms in up markets
Down Capture Ratio
109.93%
Falls more than market