Stock vs. Benchmark Comparison
Data updated: 2025-05-06 15:41 UTC
微软 (MSFT)
标普500 (SPY)
📈 Cumulative Return
10.47%
vs Benchmark 13.00%
📊 Volatility (Ann.)
25.8%
Benchmark 20.0%
⚠️ 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
-1.12%
Beta
0.96
Ann. Alpha
-0.47%
Information Ratio
-0.07
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 0.97%.
- The stock's Alpha is close to zero, indicating returns are mostly driven by market movements rather than specific factors.
- A Beta value (0.96) 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
10.47%
13.00%
-2.53%
Annualized Return
14.20%
15.32%
-1.12%
Risk Metrics
Metric
MSFT
SPY
Ratio/Diff.
Annualized Volatility
25.76%
20.05%
1.29x
Max Drawdown
23.73%
18.76%
1.27x
Sharpe Ratio
0.43
0.61
-0.18
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.96
Similar to market
Medium Volatility
Annualized Alpha
-0.47%
Near Zero Alpha
Neutral
Information Ratio
-0.07
Moderate IR
Fair
Correlation Coeff.
0.75
Moderately Correlated
Clear Link
R-Squared
56.31%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
103.55%
Outperforms in up markets
Down Capture Ratio
105.19%
Falls more than market