Stock vs. Benchmark Comparison
Data updated: 2025-05-10 22:27 UTC
Zoom (ZM)
标普500 (SPY)
📈 Cumulative Return
32.79%
vs Benchmark 10.51%
📊 Volatility (Ann.)
33.7%
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
27.83%
Beta
0.78
Ann. Alpha
28.00%
Information Ratio
0.92
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 21.99%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 28.00%.
- A low Beta value (0.78) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.92) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ZM
SPY
Excess/Diff.
Total Return
32.79%
10.51%
22.29%
Annualized Return
40.59%
12.76%
27.83%
Risk Metrics
Metric
ZM
SPY
Ratio/Diff.
Annualized Volatility
33.67%
20.02%
1.68x
Max Drawdown
25.08%
18.76%
1.34x
Sharpe Ratio
1.12
0.49
0.63
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.78
Lower than market
Low Volatility
Annualized Alpha
28.00%
Positive Alpha
Good
Information Ratio
0.92
High IR
Excellent
Correlation Coeff.
0.47
Low Correlation
Weak Link
R-Squared
21.63%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
86.11%
Captures part of up moves
Down Capture Ratio
60.21%
Falls less than market