Stock vs. Benchmark Comparison
Data updated: 2025-09-23 19:06 UTC
沃尔玛 (WMT)
标普500 (SPY)
📈 Cumulative Return
33.03%
vs Benchmark 18.57%
📊 Volatility (Ann.)
24.0%
Benchmark 19.4%
⚠️ 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
16.18%
Beta
0.63
Ann. Alpha
21.54%
Information Ratio
0.74
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 12.52%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 21.54%.
- A low Beta value (0.63) 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 (0.74) 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
33.03%
18.57%
14.46%
Annualized Return
37.05%
20.88%
16.18%
Risk Metrics
Metric
WMT
SPY
Ratio/Diff.
Annualized Volatility
24.04%
19.43%
1.24x
Max Drawdown
21.93%
18.76%
1.17x
Sharpe Ratio
1.42
0.92
0.50
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.63
Lower than market
Low Volatility
Annualized Alpha
21.54%
Positive Alpha
Good
Information Ratio
0.74
High IR
Excellent
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
26.25%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
63.50%
Captures part of up moves
Down Capture Ratio
39.93%
Falls less than market