Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
富国银行 (WFC)
标普500 (SPY)
📈 Cumulative Return
49.89%
vs Benchmark 19.31%
📊 Volatility (Ann.)
32.7%
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
36.46%
Beta
1.05
Ann. Alpha
28.71%
Information Ratio
1.46
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 26.11%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 28.71%.
- A Beta value (1.05) 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.
- A high Information Ratio (1.46) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
WFC
SPY
Excess/Diff.
Total Return
49.89%
19.31%
30.59%
Annualized Return
58.26%
21.81%
36.46%
Risk Metrics
Metric
WFC
SPY
Ratio/Diff.
Annualized Volatility
32.66%
20.17%
1.62x
Max Drawdown
24.73%
18.75%
1.32x
Sharpe Ratio
1.69
0.93
0.76
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.05
Similar to market
Medium Volatility
Annualized Alpha
28.71%
Positive Alpha
Good
Information Ratio
1.46
High IR
Excellent
Correlation Coeff.
0.65
Moderately Correlated
Clear Link
R-Squared
41.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
122.20%
Outperforms in up markets
Down Capture Ratio
97.52%
Falls less than market