Stock vs. Benchmark Comparison
Data updated: 2025-06-21 11:10 UTC
通用电气 (GE)
标普500 (SPY)
📈 Cumulative Return
47.89%
vs Benchmark 11.68%
📊 Volatility (Ann.)
34.5%
Benchmark 20.4%
⚠️ 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
43.16%
Beta
1.15
Ann. Alpha
35.17%
Information Ratio
1.70
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 32.01%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 35.17%.
- A high Beta value (1.15) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (1.70) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
GE
SPY
Excess/Diff.
Total Return
47.89%
11.68%
36.21%
Annualized Return
57.22%
14.05%
43.16%
Risk Metrics
Metric
GE
SPY
Ratio/Diff.
Annualized Volatility
34.47%
20.43%
1.69x
Max Drawdown
21.36%
18.76%
1.14x
Sharpe Ratio
1.57
0.54
1.03
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.15
Higher than market
High Volatility
Annualized Alpha
35.17%
Positive Alpha
Good
Information Ratio
1.70
High IR
Excellent
Correlation Coeff.
0.68
Moderately Correlated
Clear Link
R-Squared
46.50%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
130.84%
Outperforms in up markets
Down Capture Ratio
101.06%
Falls more than market