Stock vs. Benchmark Comparison
Data updated: 2025-08-06 10:22 UTC
辉瑞 (PFE)
标普500 (SPY)
📈 Cumulative Return
-12.94%
vs Benchmark 19.31%
📊 Volatility (Ann.)
24.4%
Benchmark 20.2%
⚠️ 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
-32.18%
Beta
0.44
Ann. Alpha
-17.85%
Information Ratio
-1.27
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 30.56%.
- The stock showed negative stock selection ability, with an annualized Alpha of -17.85%.
- A low Beta value (0.44) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-1.27) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PFE
SPY
Excess/Diff.
Total Return
-12.94%
19.31%
-32.25%
Annualized Return
-10.37%
21.81%
-32.18%
Risk Metrics
Metric
PFE
SPY
Ratio/Diff.
Annualized Volatility
24.39%
20.17%
1.21x
Max Drawdown
26.16%
18.75%
1.39x
Sharpe Ratio
-0.55
0.93
-1.48
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.44
Lower than market
Low Volatility
Annualized Alpha
-17.85%
Negative Alpha
Poor
Information Ratio
-1.27
Low IR
Poor
Correlation Coeff.
0.37
Low Correlation
Weak Link
R-Squared
13.32%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
31.83%
Captures part of up moves
Down Capture Ratio
51.31%
Falls less than market