Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:11 UTC
谷歌 (GOOGL)
标普500 (SPY)
📈 Cumulative Return
27.34%
vs Benchmark 24.38%
📊 Volatility (Ann.)
31.2%
Benchmark 19.9%
⚠️ 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
6.83%
Beta
1.00
Ann. Alpha
5.42%
Information Ratio
0.28
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 5.22%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.42%.
- A Beta value (1.00) 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
27.34%
24.38%
2.96%
Annualized Return
33.78%
26.95%
6.83%
Risk Metrics
Metric
GOOGL
SPY
Ratio/Diff.
Annualized Volatility
31.15%
19.93%
1.56x
Max Drawdown
29.80%
18.75%
1.59x
Sharpe Ratio
0.99
1.20
-0.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.00
Similar to market
Medium Volatility
Annualized Alpha
5.42%
Positive Alpha
Good
Information Ratio
0.28
Moderate IR
Fair
Correlation Coeff.
0.64
Moderately Correlated
Clear Link
R-Squared
40.82%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
104.15%
Outperforms in up markets
Down Capture Ratio
99.14%
Falls less than market