Stock vs. Benchmark Comparison
Data updated: 2025-05-06 13:01 UTC
台积电 (TSM)
标普500 (SPY)
📈 Cumulative Return
30.91%
vs Benchmark 13.00%
📊 Volatility (Ann.)
46.5%
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
30.69%
Beta
1.52
Ann. Alpha
17.55%
Information Ratio
0.84
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 23.53%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 17.55%.
- A high Beta value (1.52) 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 (0.84) 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
30.91%
13.00%
17.91%
Annualized Return
46.00%
15.32%
30.69%
Risk Metrics
Metric
TSM
SPY
Ratio/Diff.
Annualized Volatility
46.54%
20.05%
2.32x
Max Drawdown
36.87%
18.76%
1.97x
Sharpe Ratio
0.92
0.61
0.31
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.52
Higher than market
High Volatility
Annualized Alpha
17.55%
Positive Alpha
Good
Information Ratio
0.84
High IR
Excellent
Correlation Coeff.
0.66
Moderately Correlated
Clear Link
R-Squared
42.99%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
185.22%
Outperforms in up markets
Down Capture Ratio
172.58%
Falls more than market