Stock vs. Benchmark Comparison
Data updated: 2025-05-06 09:44 UTC
好市多 (COST)
标普500 (SPY)
📈 Cumulative Return
39.28%
vs Benchmark 13.00%
📊 Volatility (Ann.)
22.1%
Benchmark 20.0%
*
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
27.59%
Beta
0.62
Ann. Alpha
30.78%
Information Ratio
1.40
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 21.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 30.78%.
- A low Beta value (0.62) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (1.40) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
COST
SPY
Excess/Diff.
Total Return
39.28%
13.00%
26.28%
Annualized Return
42.91%
15.32%
27.59%
Risk Metrics
Metric
COST
SPY
Ratio/Diff.
Annualized Volatility
22.10%
20.05%
1.10x
Max Drawdown
17.29%
18.76%
0.92x
Sharpe Ratio
1.81
0.61
1.19
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.62
Lower than market
Low Volatility
Annualized Alpha
30.78%
Positive Alpha
Good
Information Ratio
1.40
High IR
Excellent
Correlation Coeff.
0.56
Moderately Correlated
Clear Link
R-Squared
31.86%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
86.16%
Captures part of up moves
Down Capture Ratio
60.32%
Falls less than market