Stock vs. Benchmark Comparison
Data updated: 2025-06-20 17:46 UTC
美国银行 (BAC)
标普500 (SPY)
📈 Cumulative Return
14.61%
vs Benchmark 11.68%
📊 Volatility (Ann.)
28.8%
Benchmark 20.4%
⚠️ 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
5.50%
Beta
0.95
Ann. Alpha
5.55%
Information Ratio
0.26
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.69%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.55%.
- A Beta value (0.95) 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
BAC
SPY
Excess/Diff.
Total Return
14.61%
11.68%
2.93%
Annualized Return
19.55%
14.05%
5.50%
Risk Metrics
Metric
BAC
SPY
Ratio/Diff.
Annualized Volatility
28.79%
20.43%
1.41x
Max Drawdown
27.50%
18.76%
1.47x
Sharpe Ratio
0.57
0.54
0.03
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.95
Similar to market
Medium Volatility
Annualized Alpha
5.55%
Positive Alpha
Good
Information Ratio
0.26
Moderate IR
Fair
Correlation Coeff.
0.67
Moderately Correlated
Clear Link
R-Squared
45.17%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
90.94%
Captures part of up moves
Down Capture Ratio
84.69%
Falls less than market