Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
Meta (META)
标普500 (SPY)
📈 Cumulative Return
56.94%
vs Benchmark 19.31%
📊 Volatility (Ann.)
37.0%
Benchmark 20.2%
⚠️ 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
46.29%
Beta
1.36
Ann. Alpha
28.54%
Information Ratio
1.79
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 32.13%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 28.54%.
- 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 (1.79) 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
56.94%
19.31%
37.63%
Annualized Return
68.10%
21.81%
46.29%
Risk Metrics
Metric
META
SPY
Ratio/Diff.
Annualized Volatility
36.98%
20.17%
1.83x
Max Drawdown
34.15%
18.75%
1.82x
Sharpe Ratio
1.76
0.93
0.83
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.36
Higher than market
High Volatility
Annualized Alpha
28.54%
Positive Alpha
Good
Information Ratio
1.79
High IR
Excellent
Correlation Coeff.
0.74
Moderately Correlated
Clear Link
R-Squared
55.13%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
139.05%
Outperforms in up markets
Down Capture Ratio
111.30%
Falls more than market