Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
SoFi (SOFI)
标普500 (SPY)
📈 Cumulative Return
223.91%
vs Benchmark 19.31%
📊 Volatility (Ann.)
61.6%
Benchmark 20.2%
⚠️ 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
270.58%
Beta
2.16
Ann. Alpha
156.70%
Information Ratio
5.47
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 116.88%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 156.70%.
- A high Beta value (2.16) 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 (5.47) 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
223.91%
19.31%
204.60%
Annualized Return
292.39%
21.81%
270.58%
Risk Metrics
Metric
SOFI
SPY
Ratio/Diff.
Annualized Volatility
61.59%
20.17%
3.05x
Max Drawdown
47.31%
18.75%
2.52x
Sharpe Ratio
4.70
0.93
3.77
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.16
Higher than market
High Volatility
Annualized Alpha
156.70%
Positive Alpha
Good
Information Ratio
5.47
High IR
Excellent
Correlation Coeff.
0.71
Moderately Correlated
Clear Link
R-Squared
50.03%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
278.23%
Outperforms in up markets
Down Capture Ratio
185.33%
Falls more than market