Stock vs. Benchmark Comparison
Data updated: 2025-10-15 00:30 UTC
福特 (F)
标普500 (SPY)
📈 Cumulative Return
16.33%
vs Benchmark 16.48%
📊 Volatility (Ann.)
32.5%
Benchmark 19.6%
⚠️ 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
3.91%
Beta
0.84
Ann. Alpha
6.24%
Information Ratio
0.14
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 3.22%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.24%.
- A low Beta value (0.84) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- 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
F
SPY
Excess/Diff.
Total Return
16.33%
16.48%
-0.15%
Annualized Return
22.69%
18.79%
3.91%
Risk Metrics
Metric
F
SPY
Ratio/Diff.
Annualized Volatility
32.46%
19.62%
1.65x
Max Drawdown
21.32%
18.76%
1.14x
Sharpe Ratio
0.61
0.80
-0.20
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
6.24%
Positive Alpha
Good
Information Ratio
0.14
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
25.58%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
83.46%
Captures part of up moves
Down Capture Ratio
76.28%
Falls less than market