Stock vs. Benchmark Comparison
Data updated: 2025-09-24 10:07 UTC
辉瑞 (PFE)
标普500 (SPY)
📈 Cumulative Return
-12.22%
vs Benchmark 18.13%
📊 Volatility (Ann.)
24.6%
Benchmark 19.4%
⚠️ 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
-30.00%
Beta
0.42
Ann. Alpha
-16.40%
Information Ratio
-1.16
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 28.54%.
- The stock showed negative stock selection ability, with an annualized Alpha of -16.40%.
- A low Beta value (0.42) 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 (-1.16) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PFE
SPY
Excess/Diff.
Total Return
-12.22%
18.13%
-30.35%
Annualized Return
-9.57%
20.43%
-30.00%
Risk Metrics
Metric
PFE
SPY
Ratio/Diff.
Annualized Volatility
24.63%
19.44%
1.27x
Max Drawdown
26.16%
18.76%
1.39x
Sharpe Ratio
-0.51
0.90
-1.41
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.42
Lower than market
Low Volatility
Annualized Alpha
-16.40%
Negative Alpha
Poor
Information Ratio
-1.16
Low IR
Poor
Correlation Coeff.
0.33
Low Correlation
Weak Link
R-Squared
11.09%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
27.10%
Captures part of up moves
Down Capture Ratio
45.27%
Falls less than market