Stock vs. Benchmark Comparison
Data updated: 2025-08-15 17:21 UTC
福特 (F)
标普500 (SPY)
📈 Cumulative Return
21.44%
vs Benchmark 20.47%
📊 Volatility (Ann.)
32.1%
Benchmark 19.8%
⚠️ 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
5.08%
Beta
0.84
Ann. Alpha
7.59%
Information Ratio
0.18
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.03%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 7.59%.
- 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
21.44%
20.47%
0.98%
Annualized Return
27.98%
22.90%
5.08%
Risk Metrics
Metric
F
SPY
Ratio/Diff.
Annualized Volatility
32.15%
19.77%
1.63x
Max Drawdown
21.32%
18.75%
1.14x
Sharpe Ratio
0.78
1.01
-0.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.84
Lower than market
Low Volatility
Annualized Alpha
7.59%
Positive Alpha
Good
Information Ratio
0.18
Moderate IR
Fair
Correlation Coeff.
0.52
Moderately Correlated
Clear Link
R-Squared
26.79%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
87.27%
Captures part of up moves
Down Capture Ratio
79.42%
Falls less than market