Stock vs. Benchmark Comparison
Data updated: 2025-09-24 05:47 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
-4.08%
vs Benchmark 18.13%
📊 Volatility (Ann.)
17.0%
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
-23.14%
Beta
0.08
Ann. Alpha
-4.23%
Information Ratio
-0.94
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 21.26%.
- The stock showed negative stock selection ability, with an annualized Alpha of -4.23%.
- A low Beta value (0.08) 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 (-0.94) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
KO
SPY
Excess/Diff.
Total Return
-4.08%
18.13%
-22.21%
Annualized Return
-2.71%
20.43%
-23.14%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
16.98%
19.44%
0.87x
Max Drawdown
14.74%
18.76%
0.79x
Sharpe Ratio
-0.34
0.90
-1.23
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.08
Lower than market
Low Volatility
Annualized Alpha
-4.23%
Negative Alpha
Poor
Information Ratio
-0.94
Low IR
Poor
Correlation Coeff.
0.10
Weakly Correlated
Weak Link
R-Squared
0.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
4.55%
Captures part of up moves
Down Capture Ratio
8.89%
Falls less than market