Stock vs. Benchmark Comparison
Data updated: 2025-06-21 13:46 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
13.13%
vs Benchmark 9.73%
📊 Volatility (Ann.)
17.1%
Benchmark 20.5%
*
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
2.78%
Beta
0.06
Ann. Alpha
14.02%
Information Ratio
0.11
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 2.44%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 14.02%.
- A low Beta value (0.06) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
KO
SPY
Excess/Diff.
Total Return
13.13%
9.73%
3.40%
Annualized Return
14.84%
12.06%
2.78%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
17.10%
20.49%
0.83x
Max Drawdown
15.51%
18.76%
0.83x
Sharpe Ratio
0.69
0.44
0.25
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.06
Lower than market
Low Volatility
Annualized Alpha
14.02%
Positive Alpha
Good
Information Ratio
0.11
Moderate IR
Fair
Correlation Coeff.
0.08
Weakly Correlated
Weak Link
R-Squared
0.57%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
11.10%
Captures part of up moves
Down Capture Ratio
-2.05%
Rises when market falls