Stock vs. Benchmark Comparison
Data updated: 2025-09-24 07:49 UTC
Meta (META)
标普500 (SPY)
📈 Cumulative Return
34.90%
vs Benchmark 18.13%
📊 Volatility (Ann.)
36.4%
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
23.65%
Beta
1.37
Ann. Alpha
11.77%
Information Ratio
0.92
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 17.88%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 11.77%.
- A high Beta value (1.37) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.92) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
META
SPY
Excess/Diff.
Total Return
34.90%
18.13%
16.77%
Annualized Return
44.08%
20.43%
23.65%
Risk Metrics
Metric
META
SPY
Ratio/Diff.
Annualized Volatility
36.35%
19.44%
1.87x
Max Drawdown
34.15%
18.76%
1.82x
Sharpe Ratio
1.13
0.90
0.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.37
Higher than market
High Volatility
Annualized Alpha
11.77%
Positive Alpha
Good
Information Ratio
0.92
High IR
Excellent
Correlation Coeff.
0.73
Moderately Correlated
Clear Link
R-Squared
53.41%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
131.48%
Outperforms in up markets
Down Capture Ratio
116.92%
Falls more than market