Stock vs. Benchmark Comparison
Data updated: 2025-05-06 12:21 UTC
星巴克 (SBUX)
标普500 (SPY)
📈 Cumulative Return
11.76%
vs Benchmark 13.00%
📊 Volatility (Ann.)
41.0%
Benchmark 20.0%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
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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
5.77%
Beta
0.98
Ann. Alpha
5.33%
Information Ratio
0.16
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.87%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.33%.
- A Beta value (0.98) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- 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
SBUX
SPY
Excess/Diff.
Total Return
11.76%
13.00%
-1.24%
Annualized Return
21.09%
15.32%
5.77%
Risk Metrics
Metric
SBUX
SPY
Ratio/Diff.
Annualized Volatility
41.03%
20.05%
2.05x
Max Drawdown
31.19%
18.76%
1.66x
Sharpe Ratio
0.44
0.61
-0.17
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.98
Similar to market
Medium Volatility
Annualized Alpha
5.33%
Positive Alpha
Good
Information Ratio
0.16
Moderate IR
Fair
Correlation Coeff.
0.48
Low Correlation
Weak Link
R-Squared
22.85%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
73.57%
Captures part of up moves
Down Capture Ratio
64.03%
Falls less than market