Stock vs. Benchmark Comparison
Data updated: 2025-09-09 12:52 UTC
强生 (JNJ)
标普500 (SPY)
📈 Cumulative Return
11.46%
vs Benchmark 19.52%
📊 Volatility (Ann.)
19.1%
Benchmark 19.6%
*
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
-8.33%
Beta
0.06
Ann. Alpha
12.24%
Information Ratio
-0.31
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.06%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 12.24%.
- 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
JNJ
SPY
Excess/Diff.
Total Return
11.46%
19.52%
-8.07%
Annualized Return
13.56%
21.90%
-8.33%
Risk Metrics
Metric
JNJ
SPY
Ratio/Diff.
Annualized Volatility
19.12%
19.62%
0.97x
Max Drawdown
14.44%
18.75%
0.77x
Sharpe Ratio
0.55
0.96
-0.41
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.06
Lower than market
Low Volatility
Annualized Alpha
12.24%
Positive Alpha
Good
Information Ratio
-0.31
Moderate IR
Fair
Correlation Coeff.
0.06
Weakly Correlated
Weak Link
R-Squared
0.37%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
11.48%
Captures part of up moves
Down Capture Ratio
-0.90%
Rises when market falls