Stock vs. Benchmark Comparison
Data updated: 2025-05-06 09:54 UTC
埃克森美孚 (XOM)
标普500 (SPY)
📈 Cumulative Return
-8.16%
vs Benchmark 13.00%
📊 Volatility (Ann.)
23.9%
Benchmark 20.0%
⚠️ 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
-20.85%
Beta
0.51
Ann. Alpha
-12.20%
Information Ratio
-0.88
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 19.86%.
- The stock showed negative stock selection ability, with an annualized Alpha of -12.20%.
- A low Beta value (0.51) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A negative Information Ratio (-0.88) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
XOM
SPY
Excess/Diff.
Total Return
-8.16%
13.00%
-21.16%
Annualized Return
-5.53%
15.32%
-20.85%
Risk Metrics
Metric
XOM
SPY
Ratio/Diff.
Annualized Volatility
23.85%
20.05%
1.19x
Max Drawdown
18.92%
18.76%
1.01x
Sharpe Ratio
-0.36
0.61
-0.97
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.51
Lower than market
Low Volatility
Annualized Alpha
-12.20%
Negative Alpha
Poor
Information Ratio
-0.88
Low IR
Poor
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.62%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
25.60%
Captures part of up moves
Down Capture Ratio
35.89%
Falls less than market