Stock vs. Benchmark Comparison
Data updated: 2025-09-24 07:49 UTC
摩根大通 (JPM)
标普500 (SPY)
📈 Cumulative Return
51.48%
vs Benchmark 18.13%
📊 Volatility (Ann.)
27.0%
Benchmark 19.4%
⚠️ 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
36.85%
Beta
1.00
Ann. Alpha
30.65%
Information Ratio
1.97
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 26.62%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 30.65%.
- 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.
- A high Information Ratio (1.97) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
JPM
SPY
Excess/Diff.
Total Return
51.48%
18.13%
33.35%
Annualized Return
57.28%
20.43%
36.85%
Risk Metrics
Metric
JPM
SPY
Ratio/Diff.
Annualized Volatility
26.97%
19.44%
1.39x
Max Drawdown
24.42%
18.76%
1.30x
Sharpe Ratio
2.01
0.90
1.12
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.00
Similar to market
Medium Volatility
Annualized Alpha
30.65%
Positive Alpha
Good
Information Ratio
1.97
High IR
Excellent
Correlation Coeff.
0.72
Moderately Correlated
Clear Link
R-Squared
51.85%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
117.62%
Outperforms in up markets
Down Capture Ratio
89.40%
Falls less than market