Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
塔吉特 (TGT)
标普500 (SPY)
📈 Cumulative Return
-23.79%
vs Benchmark 19.31%
📊 Volatility (Ann.)
40.6%
Benchmark 20.2%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-38.85%
Beta
0.86
Ann. Alpha
-29.99%
Information Ratio
-1.05
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 38.26%.
- The stock showed negative stock selection ability, with an annualized Alpha of -29.99%.
- A Beta value (0.86) 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 (-1.05) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TGT
SPY
Excess/Diff.
Total Return
-23.79%
19.31%
-43.09%
Annualized Return
-17.04%
21.81%
-38.85%
Risk Metrics
Metric
TGT
SPY
Ratio/Diff.
Annualized Volatility
40.62%
20.17%
2.01x
Max Drawdown
43.89%
18.75%
2.34x
Sharpe Ratio
-0.49
0.93
-1.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
-29.99%
Negative Alpha
Poor
Information Ratio
-1.05
Low IR
Poor
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.19%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
68.06%
Captures part of up moves
Down Capture Ratio
104.36%
Falls more than market