Stock vs. Benchmark Comparison
Data updated: 2025-06-22 16:17 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
43.03%
vs Benchmark 9.73%
📊 Volatility (Ann.)
34.4%
Benchmark 20.5%
⚠️ 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
39.77%
Beta
1.31
Ann. Alpha
30.74%
Information Ratio
1.78
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 30.28%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 30.74%.
- A high Beta value (1.31) 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 (1.78) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
GS
SPY
Excess/Diff.
Total Return
43.03%
9.73%
33.30%
Annualized Return
51.83%
12.06%
39.77%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
34.40%
20.49%
1.68x
Max Drawdown
30.90%
18.76%
1.65x
Sharpe Ratio
1.42
0.44
0.98
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.31
Higher than market
High Volatility
Annualized Alpha
30.74%
Positive Alpha
Good
Information Ratio
1.78
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
61.33%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
142.34%
Outperforms in up markets
Down Capture Ratio
115.62%
Falls more than market