Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
埃克森美孚 (XOM)
标普500 (SPY)
📈 Cumulative Return
-5.05%
vs Benchmark 19.31%
📊 Volatility (Ann.)
24.3%
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
-24.02%
Beta
0.53
Ann. Alpha
-11.85%
Information Ratio
-1.01
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 21.89%.
- The stock showed negative stock selection ability, with an annualized Alpha of -11.85%.
- A low Beta value (0.53) 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 (-1.01) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
XOM
SPY
Excess/Diff.
Total Return
-5.05%
19.31%
-24.35%
Annualized Return
-2.22%
21.81%
-24.02%
Risk Metrics
Metric
XOM
SPY
Ratio/Diff.
Annualized Volatility
24.27%
20.17%
1.20x
Max Drawdown
18.92%
18.75%
1.01x
Sharpe Ratio
-0.21
0.93
-1.15
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.53
Lower than market
Low Volatility
Annualized Alpha
-11.85%
Negative Alpha
Poor
Information Ratio
-1.01
Low IR
Poor
Correlation Coeff.
0.44
Low Correlation
Weak Link
R-Squared
19.04%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
29.66%
Captures part of up moves
Down Capture Ratio
38.81%
Falls less than market