Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:16 UTC
好市多 (COST)
标普500 (SPY)
📈 Cumulative Return
21.69%
vs Benchmark 24.38%
📊 Volatility (Ann.)
21.8%
Benchmark 19.9%
*
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
-2.24%
Beta
0.57
Ann. Alpha
8.86%
Information Ratio
-0.11
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 1.77%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 8.86%.
- A low Beta value (0.57) 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
21.69%
24.38%
-2.70%
Annualized Return
24.71%
26.95%
-2.24%
Risk Metrics
Metric
COST
SPY
Ratio/Diff.
Annualized Volatility
21.83%
19.93%
1.10x
Max Drawdown
17.29%
18.75%
0.92x
Sharpe Ratio
0.99
1.20
-0.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.57
Lower than market
Low Volatility
Annualized Alpha
8.86%
Positive Alpha
Good
Information Ratio
-0.11
Moderate IR
Fair
Correlation Coeff.
0.52
Moderately Correlated
Clear Link
R-Squared
27.05%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
63.88%
Captures part of up moves
Down Capture Ratio
55.83%
Falls less than market