Stock vs. Benchmark Comparison
Data updated: 2025-05-06 19:36 UTC
标普500 ETF (SPY)
标普500 (SPY)
📈 Cumulative Return
13.00%
vs Benchmark 13.00%
📊 Volatility (Ann.)
20.0%
Benchmark 20.0%
*
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
0.00%
Beta
1.00
Ann. Alpha
0.00%
Information Ratio
0.00
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 0.00%.
- The stock's Alpha is close to zero, indicating returns are mostly driven by market movements rather than specific factors.
- A Beta value (1.00) close to 1 indicates the stock's volatility is similar to the market.
- The stock's risk level is similar to the benchmark index.
- 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
SPY
SPY
Excess/Diff.
Total Return
13.00%
13.00%
0.00%
Annualized Return
15.32%
15.32%
0.00%
Risk Metrics
Metric
SPY
SPY
Ratio/Diff.
Annualized Volatility
20.05%
20.05%
1.00x
Max Drawdown
18.76%
18.76%
1.00x
Sharpe Ratio
0.61
0.61
0.00
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.00
Similar to market
Medium Volatility
Annualized Alpha
0.00%
Near Zero Alpha
Neutral
Information Ratio
0.00
Moderate IR
Fair
Correlation Coeff.
1.00
Highly Correlated
Strong Link
R-Squared
100.00%
High Explanatory Power
Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
100.00%
Captures part of up moves
Down Capture Ratio
100.00%
Falls more than market