Stock vs. Benchmark Comparison
Data updated: 2025-08-05 13:54 UTC
美国银行 (BAC)
标普500 (SPY)
📈 Cumulative Return
17.32%
vs Benchmark 18.07%
📊 Volatility (Ann.)
28.4%
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
1.70%
Beta
0.97
Ann. Alpha
1.97%
Information Ratio
0.08
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 1.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 1.97%.
- A Beta value (0.97) 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
17.32%
18.07%
-0.75%
Annualized Return
22.26%
20.56%
1.70%
Risk Metrics
Metric
BAC
SPY
Ratio/Diff.
Annualized Volatility
28.38%
20.24%
1.40x
Max Drawdown
27.50%
18.75%
1.47x
Sharpe Ratio
0.68
0.87
-0.19
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.97
Similar to market
Medium Volatility
Annualized Alpha
1.97%
Positive Alpha
Good
Information Ratio
0.08
Moderate IR
Fair
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
47.87%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
93.70%
Captures part of up moves
Down Capture Ratio
90.82%
Falls less than market