Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:20 UTC
强生 (JNJ)
标普500 (SPY)
📈 Cumulative Return
6.71%
vs Benchmark 13.00%
📊 Volatility (Ann.)
18.5%
Benchmark 20.0%
*
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
-6.73%
Beta
-0.01
Ann. Alpha
8.71%
Information Ratio
-0.25
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 5.99%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 8.71%.
- A low Beta value (-0.01) 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
JNJ
SPY
Excess/Diff.
Total Return
6.71%
13.00%
-6.30%
Annualized Return
8.59%
15.32%
-6.73%
Risk Metrics
Metric
JNJ
SPY
Ratio/Diff.
Annualized Volatility
18.53%
20.05%
0.92x
Max Drawdown
14.45%
18.76%
0.77x
Sharpe Ratio
0.30
0.61
-0.31
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
-0.01
Lower than market
Low Volatility
Annualized Alpha
8.71%
Positive Alpha
Good
Information Ratio
-0.25
Moderate IR
Fair
Correlation Coeff.
-0.01
Weakly Correlated
Weak Link
R-Squared
0.01%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-8.03%
Moves opposite in up markets
Down Capture Ratio
-18.38%
Rises when market falls