Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
沃尔玛 (WMT)
标普500 (SPY)
📈 Cumulative Return
46.56%
vs Benchmark 19.31%
📊 Volatility (Ann.)
24.0%
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
29.21%
Beta
0.63
Ann. Alpha
33.44%
Information Ratio
1.35
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 21.43%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 33.44%.
- A low Beta value (0.63) 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 (1.35) 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
46.56%
19.31%
27.25%
Annualized Return
51.01%
21.81%
29.21%
Risk Metrics
Metric
WMT
SPY
Ratio/Diff.
Annualized Volatility
23.97%
20.17%
1.19x
Max Drawdown
21.93%
18.75%
1.17x
Sharpe Ratio
2.00
0.93
1.07
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.63
Lower than market
Low Volatility
Annualized Alpha
33.44%
Positive Alpha
Good
Information Ratio
1.35
High IR
Excellent
Correlation Coeff.
0.53
Moderately Correlated
Clear Link
R-Squared
27.87%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
68.82%
Captures part of up moves
Down Capture Ratio
37.54%
Falls less than market