Stock vs. Benchmark Comparison
Data updated: 2025-06-24 08:16 UTC
福特 (F)
标普500 (SPY)
📈 Cumulative Return
-3.02%
vs Benchmark 9.73%
📊 Volatility (Ann.)
37.8%
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
-7.66%
Beta
0.87
Ann. Alpha
-5.46%
Information Ratio
-0.23
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.05%.
- The stock showed negative stock selection ability, with an annualized Alpha of -5.46%.
- A Beta value (0.87) close to 1 indicates the stock's volatility is similar to the market.
- 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
-3.02%
9.73%
-12.75%
Annualized Return
4.41%
12.06%
-7.66%
Risk Metrics
Metric
F
SPY
Ratio/Diff.
Annualized Volatility
37.83%
20.49%
1.85x
Max Drawdown
36.47%
18.76%
1.94x
Sharpe Ratio
0.04
0.44
-0.41
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.87
Similar to market
Medium Volatility
Annualized Alpha
-5.46%
Negative Alpha
Poor
Information Ratio
-0.23
Moderate IR
Fair
Correlation Coeff.
0.47
Low Correlation
Weak Link
R-Squared
22.24%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
87.76%
Captures part of up moves
Down Capture Ratio
93.70%
Falls less than market