Stock vs. Benchmark Comparison
Data updated: 2025-05-06 09:54 UTC
沃尔玛 (WMT)
标普500 (SPY)
📈 Cumulative Return
68.24%
vs Benchmark 13.00%
📊 Volatility (Ann.)
24.8%
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
58.47%
Beta
0.62
Ann. Alpha
59.04%
Information Ratio
2.57
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 40.91%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 59.04%.
- A low Beta value (0.62) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (2.57) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
WMT
SPY
Excess/Diff.
Total Return
68.24%
13.00%
55.24%
Annualized Return
73.79%
15.32%
58.47%
Risk Metrics
Metric
WMT
SPY
Ratio/Diff.
Annualized Volatility
24.84%
20.05%
1.24x
Max Drawdown
21.93%
18.76%
1.17x
Sharpe Ratio
2.85
0.61
2.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.62
Lower than market
Low Volatility
Annualized Alpha
59.04%
Positive Alpha
Good
Information Ratio
2.57
High IR
Excellent
Correlation Coeff.
0.50
Moderately Correlated
Clear Link
R-Squared
25.30%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
75.44%
Captures part of up moves
Down Capture Ratio
26.31%
Falls less than market