Stock vs. Benchmark Comparison
Data updated: 2025-05-06 11:37 UTC
美国银行 (BAC)
标普500 (SPY)
📈 Cumulative Return
14.25%
vs Benchmark 13.00%
📊 Volatility (Ann.)
28.7%
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
3.82%
Beta
0.94
Ann. Alpha
4.23%
Information Ratio
0.18
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 3.25%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.23%.
- A Beta value (0.94) 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
14.25%
13.00%
1.25%
Annualized Return
19.14%
15.32%
3.82%
Risk Metrics
Metric
BAC
SPY
Ratio/Diff.
Annualized Volatility
28.68%
20.05%
1.43x
Max Drawdown
27.51%
18.76%
1.47x
Sharpe Ratio
0.56
0.61
-0.05
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.94
Similar to market
Medium Volatility
Annualized Alpha
4.23%
Positive Alpha
Good
Information Ratio
0.18
Moderate IR
Fair
Correlation Coeff.
0.66
Moderately Correlated
Clear Link
R-Squared
42.98%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
87.87%
Captures part of up moves
Down Capture Ratio
82.37%
Falls less than market