Stock vs. Benchmark Comparison
Data updated: 2025-05-11 01:47 UTC
Coinbase (COIN)
标普500 (SPY)
📈 Cumulative Return
-5.63%
vs Benchmark 10.51%
📊 Volatility (Ann.)
83.0%
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
19.08%
Beta
2.33
Ann. Alpha
-0.28%
Information Ratio
0.26
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 15.58%.
- The stock's Alpha is close to zero, indicating returns are mostly driven by market movements rather than specific factors.
- A high Beta value (2.33) indicates the stock is more sensitive to market changes and has higher volatility.
- 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
COIN
SPY
Excess/Diff.
Total Return
-5.63%
10.51%
-16.13%
Annualized Return
31.84%
12.76%
19.08%
Risk Metrics
Metric
COIN
SPY
Ratio/Diff.
Annualized Volatility
83.00%
20.02%
4.15x
Max Drawdown
55.92%
18.76%
2.98x
Sharpe Ratio
0.35
0.49
-0.14
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.33
Higher than market
High Volatility
Annualized Alpha
-0.28%
Near Zero Alpha
Neutral
Information Ratio
0.26
Moderate IR
Fair
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
31.49%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
298.37%
Outperforms in up markets
Down Capture Ratio
307.28%
Falls more than market