Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:01 UTC
摩根大通 (JPM)
标普500 (SPY)
📈 Cumulative Return
34.83%
vs Benchmark 13.00%
📊 Volatility (Ann.)
28.7%
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
25.27%
Beta
0.92
Ann. Alpha
23.28%
Information Ratio
1.15
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 19.76%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 23.28%.
- A Beta value (0.92) 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 (1.15) 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
34.83%
13.00%
21.83%
Annualized Return
40.59%
15.32%
25.27%
Risk Metrics
Metric
JPM
SPY
Ratio/Diff.
Annualized Volatility
28.67%
20.05%
1.43x
Max Drawdown
24.42%
18.76%
1.30x
Sharpe Ratio
1.31
0.61
0.70
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
23.28%
Positive Alpha
Good
Information Ratio
1.15
High IR
Excellent
Correlation Coeff.
0.65
Moderately Correlated
Clear Link
R-Squared
41.62%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
95.98%
Captures part of up moves
Down Capture Ratio
73.48%
Falls less than market