Stock vs. Benchmark Comparison
Data updated: 2025-06-21 13:16 UTC
谷歌 (GOOGL)
标普500 (SPY)
📈 Cumulative Return
-4.37%
vs Benchmark 9.73%
📊 Volatility (Ann.)
31.9%
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
-11.47%
Beta
1.02
Ann. Alpha
-10.41%
Information Ratio
-0.48
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 10.76%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.41%.
- A Beta value (1.02) close to 1 indicates the stock's volatility is similar to the market.
- 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
GOOGL
SPY
Excess/Diff.
Total Return
-4.37%
9.73%
-14.09%
Annualized Return
0.59%
12.06%
-11.47%
Risk Metrics
Metric
GOOGL
SPY
Ratio/Diff.
Annualized Volatility
31.89%
20.49%
1.56x
Max Drawdown
29.80%
18.76%
1.59x
Sharpe Ratio
-0.08
0.44
-0.52
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.02
Similar to market
Medium Volatility
Annualized Alpha
-10.41%
Negative Alpha
Poor
Information Ratio
-0.48
Moderate IR
Fair
Correlation Coeff.
0.65
Moderately Correlated
Clear Link
R-Squared
42.68%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
95.72%
Captures part of up moves
Down Capture Ratio
106.49%
Falls more than market