Stock vs. Benchmark Comparison
Data updated: 2025-08-05 13:56 UTC
摩根大通 (JPM)
标普500 (SPY)
📈 Cumulative Return
40.76%
vs Benchmark 18.07%
📊 Volatility (Ann.)
28.0%
Benchmark 20.2%
⚠️ 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
25.97%
Beta
0.98
Ann. Alpha
22.10%
Information Ratio
1.31
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 19.45%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 22.10%.
- A Beta value (0.98) 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 (1.31) 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
40.76%
18.07%
22.69%
Annualized Return
46.53%
20.56%
25.97%
Risk Metrics
Metric
JPM
SPY
Ratio/Diff.
Annualized Volatility
28.02%
20.24%
1.38x
Max Drawdown
24.42%
18.75%
1.30x
Sharpe Ratio
1.55
0.87
0.69
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.98
Similar to market
Medium Volatility
Annualized Alpha
22.10%
Positive Alpha
Good
Information Ratio
1.31
High IR
Excellent
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
49.73%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
108.84%
Outperforms in up markets
Down Capture Ratio
88.89%
Falls less than market