Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
雪佛龙 (CVX)
标普500 (SPY)
📈 Cumulative Return
7.70%
vs Benchmark 19.31%
📊 Volatility (Ann.)
24.8%
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
-10.68%
Beta
0.67
Ann. Alpha
-2.67%
Information Ratio
-0.49
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 9.14%.
- The stock showed negative stock selection ability, with an annualized Alpha of -2.67%.
- 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.
- 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
CVX
SPY
Excess/Diff.
Total Return
7.70%
19.31%
-11.61%
Annualized Return
11.13%
21.81%
-10.68%
Risk Metrics
Metric
CVX
SPY
Ratio/Diff.
Annualized Volatility
24.83%
20.17%
1.23x
Max Drawdown
20.64%
18.75%
1.10x
Sharpe Ratio
0.33
0.93
-0.61
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.67
Lower than market
Low Volatility
Annualized Alpha
-2.67%
Negative Alpha
Poor
Information Ratio
-0.49
Moderate IR
Fair
Correlation Coeff.
0.55
Moderately Correlated
Clear Link
R-Squared
29.80%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
48.45%
Captures part of up moves
Down Capture Ratio
47.32%
Falls less than market