Stock vs. Benchmark Comparison
Data updated: 2025-09-23 20:38 UTC
埃克森美孚 (XOM)
标普500 (SPY)
📈 Cumulative Return
0.06%
vs Benchmark 18.57%
📊 Volatility (Ann.)
23.7%
Benchmark 19.4%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-17.96%
Beta
0.52
Ann. Alpha
-6.74%
Information Ratio
-0.77
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 16.03%.
- The stock showed negative stock selection ability, with an annualized Alpha of -6.74%.
- A low Beta value (0.52) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.77) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
XOM
SPY
Excess/Diff.
Total Return
0.06%
18.57%
-18.51%
Annualized Return
2.91%
20.88%
-17.96%
Risk Metrics
Metric
XOM
SPY
Ratio/Diff.
Annualized Volatility
23.66%
19.43%
1.22x
Max Drawdown
18.92%
18.76%
1.01x
Sharpe Ratio
0.00
0.92
-0.92
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.52
Lower than market
Low Volatility
Annualized Alpha
-6.74%
Negative Alpha
Poor
Information Ratio
-0.77
Low IR
Poor
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.20%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
28.00%
Captures part of up moves
Down Capture Ratio
30.95%
Falls less than market