Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:16 UTC
百事可乐 (PEP)
标普500 (SPY)
📈 Cumulative Return
-12.39%
vs Benchmark 24.38%
📊 Volatility (Ann.)
21.4%
Benchmark 19.9%
⚠️ Alert: Stock cumulative return significantly lags benchmark. Further analysis recommended.
*
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
-37.36%
Beta
0.19
Ann. Alpha
-14.48%
Information Ratio
-1.41
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 34.73%.
- The stock showed negative stock selection ability, with an annualized Alpha of -14.48%.
- A low Beta value (0.19) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A negative Information Ratio (-1.41) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PEP
SPY
Excess/Diff.
Total Return
-12.39%
24.38%
-36.77%
Annualized Return
-10.42%
26.95%
-37.36%
Risk Metrics
Metric
PEP
SPY
Ratio/Diff.
Annualized Volatility
21.43%
19.93%
1.08x
Max Drawdown
26.66%
18.75%
1.42x
Sharpe Ratio
-0.63
1.20
-1.83
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.19
Lower than market
Low Volatility
Annualized Alpha
-14.48%
Negative Alpha
Poor
Information Ratio
-1.41
Low IR
Poor
Correlation Coeff.
0.18
Weakly Correlated
Weak Link
R-Squared
3.28%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
13.18%
Captures part of up moves
Down Capture Ratio
29.83%
Falls less than market