Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:07 UTC
高盛 (GS)
标普500 (SPY)
📈 Cumulative Return
28.14%
vs Benchmark 10.68%
📊 Volatility (Ann.)
33.9%
Benchmark 20.0%
⚠️ 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
22.81%
Beta
1.32
Ann. Alpha
15.62%
Information Ratio
1.03
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 18.34%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 15.62%.
- A high Beta value (1.32) 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 (1.03) 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
28.14%
10.68%
17.46%
Annualized Return
35.75%
12.94%
22.81%
Risk Metrics
Metric
GS
SPY
Ratio/Diff.
Annualized Volatility
33.93%
20.03%
1.69x
Max Drawdown
30.90%
18.76%
1.65x
Sharpe Ratio
0.97
0.50
0.47
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.32
Higher than market
High Volatility
Annualized Alpha
15.62%
Positive Alpha
Good
Information Ratio
1.03
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
60.76%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
139.81%
Outperforms in up markets
Down Capture Ratio
124.99%
Falls more than market