Stock vs. Benchmark Comparison
Data updated: 2025-06-20 22:28 UTC
好市多 (COST)
标普500 (SPY)
Cumulative Return
17.40%
vs Benchmark 11.68%
Volatility (Ann.)
22.5%
Benchmark 20.4%
*
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
6.43%
Beta
0.61
Ann. Alpha
11.19%
Information Ratio
0.32
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 5.47%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 11.19%.
- 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.
- 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
COST
SPY
Excess/Diff.
Total Return
17.40%
11.68%
5.72%
Annualized Return
20.49%
14.05%
6.43%
Risk Metrics
Metric
COST
SPY
Ratio/Diff.
Annualized Volatility
22.52%
20.43%
1.10x
Max Drawdown
17.29%
18.76%
0.92x
Sharpe Ratio
0.78
0.54
0.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.61
Lower than market
Low Volatility
Annualized Alpha
11.19%
Positive Alpha
Good
Information Ratio
0.32
Moderate IR
Fair
Correlation Coeff.
0.55
Moderately Correlated
Clear Link
R-Squared
30.73%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
75.68%
Captures part of up moves
Down Capture Ratio
66.46%
Falls less than market