Stock vs. Benchmark Comparison
Data updated: 2025-05-06 09:50 UTC
SoFi (SOFI)
标普500 (SPY)
📈 Cumulative Return
83.98%
vs Benchmark 13.00%
📊 Volatility (Ann.)
60.4%
Benchmark 20.0%
⚠️ 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
105.60%
Beta
2.10
Ann. Alpha
63.78%
Information Ratio
2.17
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 64.87%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 63.78%.
- A high Beta value (2.10) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (2.17) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
SOFI
SPY
Excess/Diff.
Total Return
83.98%
13.00%
70.98%
Annualized Return
120.92%
15.32%
105.60%
Risk Metrics
Metric
SOFI
SPY
Ratio/Diff.
Annualized Volatility
60.43%
20.05%
3.01x
Max Drawdown
47.31%
18.76%
2.52x
Sharpe Ratio
1.95
0.61
1.34
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.10
Higher than market
High Volatility
Annualized Alpha
63.78%
Positive Alpha
Good
Information Ratio
2.17
High IR
Excellent
Correlation Coeff.
0.70
Moderately Correlated
Clear Link
R-Squared
48.74%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
241.84%
Outperforms in up markets
Down Capture Ratio
192.34%
Falls more than market