Stock vs. Benchmark Comparison
Data updated: 2025-06-18 20:11 UTC
富国银行 (WFC)
标普500 (SPY)
Cumulative Return
35.19%
vs Benchmark 11.51%
Volatility (Ann.)
34.3%
Benchmark 20.7%
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
30.54%
Beta
1.01
Ann. Alpha
26.52%
Information Ratio
1.13
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 22.85%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 26.52%.
- A Beta value (1.01) 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 (1.13) 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
35.19%
11.51%
23.68%
Annualized Return
44.89%
14.35%
30.54%
Risk Metrics
Metric
WFC
SPY
Ratio/Diff.
Annualized Volatility
34.26%
20.69%
1.66x
Max Drawdown
24.73%
18.76%
1.32x
Sharpe Ratio
1.22
0.55
0.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.01
Similar to market
Medium Volatility
Annualized Alpha
26.52%
Positive Alpha
Good
Information Ratio
1.13
High IR
Excellent
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
37.35%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
109.55%
Outperforms in up markets
Down Capture Ratio
86.06%
Falls less than market