Stock vs. Benchmark Comparison
Data updated: 2025-06-21 16:39 UTC
沃尔玛 (WMT)
标普500 (SPY)
📈 Cumulative Return
43.66%
vs Benchmark 9.73%
📊 Volatility (Ann.)
24.1%
Benchmark 20.5%
⚠️ 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
35.98%
Beta
0.61
Ann. Alpha
38.16%
Information Ratio
1.63
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 27.76%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 38.16%.
- A low Beta value (0.61) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (1.63) 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
43.66%
9.73%
33.93%
Annualized Return
48.04%
12.06%
35.98%
Risk Metrics
Metric
WMT
SPY
Ratio/Diff.
Annualized Volatility
24.08%
20.49%
1.18x
Max Drawdown
21.93%
18.76%
1.17x
Sharpe Ratio
1.87
0.44
1.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.61
Lower than market
Low Volatility
Annualized Alpha
38.16%
Positive Alpha
Good
Information Ratio
1.63
High IR
Excellent
Correlation Coeff.
0.52
Moderately Correlated
Clear Link
R-Squared
26.72%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
66.27%
Captures part of up moves
Down Capture Ratio
33.13%
Falls less than market