Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
56.39%
vs Benchmark 19.31%
📊 Volatility (Ann.)
33.7%
Benchmark 20.2%
⚠️ 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
43.86%
Beta
1.35
Ann. Alpha
27.01%
Information Ratio
2.08
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 30.68%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 27.01%.
- A high Beta value (1.35) 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 (2.08) 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
56.39%
19.31%
37.08%
Annualized Return
65.67%
21.81%
43.86%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
33.70%
20.17%
1.67x
Max Drawdown
30.90%
18.75%
1.65x
Sharpe Ratio
1.86
0.93
0.93
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.35
Higher than market
High Volatility
Annualized Alpha
27.01%
Positive Alpha
Good
Information Ratio
2.08
High IR
Excellent
Correlation Coeff.
0.81
Highly Correlated
Strong Link
R-Squared
65.12%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
152.60%
Outperforms in up markets
Down Capture Ratio
129.52%
Falls more than market