Stock vs. Benchmark Comparison
Data updated: 2025-10-01 13:05 UTC
微软 (MSFT)
标普500 (SPY)
📈 Cumulative Return
21.92%
vs Benchmark 17.99%
📊 Volatility (Ann.)
24.7%
Benchmark 19.5%
⚠️ 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
5.46%
Beta
0.92
Ann. Alpha
6.05%
Information Ratio
0.32
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.42%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.05%.
- 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.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
MSFT
SPY
Excess/Diff.
Total Return
21.92%
17.99%
3.93%
Annualized Return
25.74%
20.29%
5.46%
Risk Metrics
Metric
MSFT
SPY
Ratio/Diff.
Annualized Volatility
24.71%
19.45%
1.27x
Max Drawdown
21.83%
18.76%
1.16x
Sharpe Ratio
0.92
0.89
0.03
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.92
Similar to market
Medium Volatility
Annualized Alpha
6.05%
Positive Alpha
Good
Information Ratio
0.32
Moderate IR
Fair
Correlation Coeff.
0.73
Moderately Correlated
Clear Link
R-Squared
52.71%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
96.90%
Captures part of up moves
Down Capture Ratio
90.90%
Falls less than market