Stock vs. Benchmark Comparison
Data updated: 2025-06-21 22:41 UTC
埃克森美孚 (XOM)
标普500 (SPY)
📈 Cumulative Return
8.52%
vs Benchmark 9.73%
📊 Volatility (Ann.)
23.9%
Benchmark 20.5%
⚠️ 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
-0.34%
Beta
0.50
Ann. Alpha
5.53%
Information Ratio
-0.01
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 0.30%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.53%.
- A low Beta value (0.50) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- 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
XOM
SPY
Excess/Diff.
Total Return
8.52%
9.73%
-1.20%
Annualized Return
11.72%
12.06%
-0.34%
Risk Metrics
Metric
XOM
SPY
Ratio/Diff.
Annualized Volatility
23.92%
20.49%
1.17x
Max Drawdown
18.92%
18.76%
1.01x
Sharpe Ratio
0.36
0.44
-0.08
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.50
Lower than market
Low Volatility
Annualized Alpha
5.53%
Positive Alpha
Good
Information Ratio
-0.01
Moderate IR
Fair
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.40%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
33.49%
Captures part of up moves
Down Capture Ratio
25.90%
Falls less than market