Stock vs. Benchmark Comparison
Data updated: 2025-05-06 09:43 UTC
雪佛龙 (CVX)
标普500 (SPY)
📈 Cumulative Return
-12.05%
vs Benchmark 13.00%
📊 Volatility (Ann.)
25.1%
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
-24.57%
Beta
0.67
Ann. Alpha
-17.51%
Information Ratio
-1.11
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 23.86%.
- The stock showed negative stock selection ability, with an annualized Alpha of -17.51%.
- A low Beta value (0.67) 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 (-1.11) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
CVX
SPY
Excess/Diff.
Total Return
-12.05%
13.00%
-25.05%
Annualized Return
-9.25%
15.32%
-24.57%
Risk Metrics
Metric
CVX
SPY
Ratio/Diff.
Annualized Volatility
25.10%
20.05%
1.25x
Max Drawdown
20.64%
18.76%
1.10x
Sharpe Ratio
-0.49
0.61
-1.10
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.67
Lower than market
Low Volatility
Annualized Alpha
-17.51%
Negative Alpha
Poor
Information Ratio
-1.11
Low IR
Poor
Correlation Coeff.
0.53
Moderately Correlated
Clear Link
R-Squared
28.55%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
35.79%
Captures part of up moves
Down Capture Ratio
52.11%
Falls less than market