Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:16 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
5.76%
vs Benchmark 24.38%
📊 Volatility (Ann.)
17.0%
Benchmark 19.9%
⚠️ Alert: Stock cumulative return significantly lags benchmark. Further analysis recommended.
*
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
-19.63%
Beta
0.09
Ann. Alpha
4.99%
Information Ratio
-0.79
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 16.74%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.99%.
- A low Beta value (0.09) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A negative Information Ratio (-0.79) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
KO
SPY
Excess/Diff.
Total Return
5.76%
24.38%
-18.62%
Annualized Return
7.32%
26.95%
-19.63%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
17.02%
19.93%
0.85x
Max Drawdown
15.51%
18.75%
0.83x
Sharpe Ratio
0.25
1.20
-0.95
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.09
Lower than market
Low Volatility
Annualized Alpha
4.99%
Positive Alpha
Good
Information Ratio
-0.79
Low IR
Poor
Correlation Coeff.
0.11
Weakly Correlated
Weak Link
R-Squared
1.15%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
13.89%
Captures part of up moves
Down Capture Ratio
9.48%
Falls less than market