Stock vs. Benchmark Comparison
Data updated: 2025-09-24 08:37 UTC
好市多 (COST)
标普500 (SPY)
📈 Cumulative Return
4.57%
vs Benchmark 18.13%
📊 Volatility (Ann.)
21.4%
Benchmark 19.4%
⚠️ 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
-13.41%
Beta
0.53
Ann. Alpha
-3.10%
Information Ratio
-0.64
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 11.77%.
- The stock showed negative stock selection ability, with an annualized Alpha of -3.10%.
- A low Beta value (0.53) 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 (-0.64) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
COST
SPY
Excess/Diff.
Total Return
4.57%
18.13%
-13.56%
Annualized Return
7.02%
20.43%
-13.41%
Risk Metrics
Metric
COST
SPY
Ratio/Diff.
Annualized Volatility
21.43%
19.44%
1.10x
Max Drawdown
17.29%
18.76%
0.92x
Sharpe Ratio
0.19
0.90
-0.71
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.53
Lower than market
Low Volatility
Annualized Alpha
-3.10%
Negative Alpha
Poor
Information Ratio
-0.64
Low IR
Poor
Correlation Coeff.
0.48
Low Correlation
Weak Link
R-Squared
23.48%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
51.62%
Captures part of up moves
Down Capture Ratio
55.01%
Falls less than market