Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
台积电 (TSM)
标普500 (SPY)
📈 Cumulative Return
56.87%
vs Benchmark 19.31%
📊 Volatility (Ann.)
43.5%
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
50.86%
Beta
1.42
Ann. Alpha
30.64%
Information Ratio
1.50
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 34.81%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 30.64%.
- A high Beta value (1.42) 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 (1.50) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
TSM
SPY
Excess/Diff.
Total Return
56.87%
19.31%
37.57%
Annualized Return
72.67%
21.81%
50.86%
Risk Metrics
Metric
TSM
SPY
Ratio/Diff.
Annualized Volatility
43.47%
20.17%
2.16x
Max Drawdown
36.87%
18.75%
1.97x
Sharpe Ratio
1.60
0.93
0.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.42
Higher than market
High Volatility
Annualized Alpha
30.64%
Positive Alpha
Good
Information Ratio
1.50
High IR
Excellent
Correlation Coeff.
0.66
Moderately Correlated
Clear Link
R-Squared
43.12%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
172.87%
Outperforms in up markets
Down Capture Ratio
149.62%
Falls more than market