Stock vs. Benchmark Comparison
Data updated: 2025-05-07 22:01 UTC
Coinbase (COIN)
标普500 (SPY)
📈 Cumulative Return
-11.81%
vs Benchmark 10.68%
📊 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
10.23%
Beta
2.32
Ann. Alpha
-7.10%
Information Ratio
0.14
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.64%.
- The stock showed negative stock selection ability, with an annualized Alpha of -7.10%.
- A high Beta value (2.32) 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
-11.81%
10.68%
-22.49%
Annualized Return
23.17%
12.94%
10.23%
Risk Metrics
Metric
COIN
SPY
Ratio/Diff.
Annualized Volatility
83.00%
20.03%
4.14x
Max Drawdown
55.92%
18.76%
2.98x
Sharpe Ratio
0.24
0.50
-0.25
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.32
Higher than market
High Volatility
Annualized Alpha
-7.10%
Negative Alpha
Poor
Information Ratio
0.14
Moderate IR
Fair
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
31.29%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
288.34%
Outperforms in up markets
Down Capture Ratio
303.90%
Falls more than market