Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
好市多 (COST)
标普500 (SPY)
📈 Cumulative Return
15.38%
vs Benchmark 19.31%
📊 Volatility (Ann.)
21.9%
Benchmark 20.2%
*
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
-3.57%
Beta
0.58
Ann. Alpha
5.53%
Information Ratio
-0.17
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 2.97%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.53%.
- A low Beta value (0.58) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- 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
COST
SPY
Excess/Diff.
Total Return
15.38%
19.31%
-3.93%
Annualized Return
18.24%
21.81%
-3.57%
Risk Metrics
Metric
COST
SPY
Ratio/Diff.
Annualized Volatility
21.90%
20.17%
1.09x
Max Drawdown
17.29%
18.75%
0.92x
Sharpe Ratio
0.70
0.93
-0.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.58
Lower than market
Low Volatility
Annualized Alpha
5.53%
Positive Alpha
Good
Information Ratio
-0.17
Moderate IR
Fair
Correlation Coeff.
0.53
Moderately Correlated
Clear Link
R-Squared
28.16%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
63.20%
Captures part of up moves
Down Capture Ratio
58.36%
Falls less than market