Stock vs. Benchmark Comparison
Data updated: 2025-06-20 17:38 UTC
摩根大通 (JPM)
标普500 (SPY)
📈 Cumulative Return
41.54%
vs Benchmark 11.68%
📊 Volatility (Ann.)
28.1%
Benchmark 20.4%
⚠️ 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
33.34%
Beta
0.94
Ann. Alpha
30.27%
Information Ratio
1.62
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 25.57%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 30.27%.
- A Beta value (0.94) 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 (1.62) 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
41.54%
11.68%
29.86%
Annualized Return
47.39%
14.05%
33.34%
Risk Metrics
Metric
JPM
SPY
Ratio/Diff.
Annualized Volatility
28.14%
20.43%
1.38x
Max Drawdown
24.42%
18.76%
1.30x
Sharpe Ratio
1.58
0.54
1.04
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.94
Similar to market
Medium Volatility
Annualized Alpha
30.27%
Positive Alpha
Good
Information Ratio
1.62
High IR
Excellent
Correlation Coeff.
0.68
Moderately Correlated
Clear Link
R-Squared
46.63%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
104.61%
Outperforms in up markets
Down Capture Ratio
78.03%
Falls less than market