Stock vs. Benchmark Comparison
Data updated: 2025-09-24 04:24 UTC
塔吉特 (TGT)
标普500 (SPY)
📈 Cumulative Return
-41.58%
vs Benchmark 18.13%
📊 Volatility (Ann.)
39.5%
Benchmark 19.4%
⚠️ 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
-57.14%
Beta
0.87
Ann. Alpha
-46.15%
Information Ratio
-1.59
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 64.05%.
- The stock showed negative stock selection ability, with an annualized Alpha of -46.15%.
- A Beta value (0.87) 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 negative Information Ratio (-1.59) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TGT
SPY
Excess/Diff.
Total Return
-41.58%
18.13%
-59.71%
Annualized Return
-36.71%
20.43%
-57.14%
Risk Metrics
Metric
TGT
SPY
Ratio/Diff.
Annualized Volatility
39.54%
19.44%
2.03x
Max Drawdown
44.05%
18.76%
2.35x
Sharpe Ratio
-1.00
0.90
-1.90
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.87
Similar to market
Medium Volatility
Annualized Alpha
-46.15%
Negative Alpha
Poor
Information Ratio
-1.59
Low IR
Poor
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.12%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
52.26%
Captures part of up moves
Down Capture Ratio
118.97%
Falls more than market