Stock vs. Benchmark Comparison
Data updated: 2025-06-21 07:19 UTC
Meta (META)
标普500 (SPY)
📈 Cumulative Return
34.69%
vs Benchmark 11.68%
📊 Volatility (Ann.)
37.1%
Benchmark 20.4%
⚠️ 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
30.24%
Beta
1.36
Ann. Alpha
20.70%
Information Ratio
1.18
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 23.45%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 20.70%.
- A high Beta value (1.36) 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 (1.18) 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
34.69%
11.68%
23.01%
Annualized Return
44.30%
14.05%
30.24%
Risk Metrics
Metric
META
SPY
Ratio/Diff.
Annualized Volatility
37.07%
20.43%
1.81x
Max Drawdown
34.15%
18.76%
1.82x
Sharpe Ratio
1.11
0.54
0.57
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.36
Higher than market
High Volatility
Annualized Alpha
20.70%
Positive Alpha
Good
Information Ratio
1.18
High IR
Excellent
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.14%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
135.97%
Outperforms in up markets
Down Capture Ratio
116.02%
Falls more than market