Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
2.51%
vs Benchmark 19.31%
📊 Volatility (Ann.)
17.1%
Benchmark 20.2%
⚠️ 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
-17.79%
Beta
0.10
Ann. Alpha
1.95%
Information Ratio
-0.72
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 15.73%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 1.95%.
- A low Beta value (0.10) 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 (-0.72) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
KO
SPY
Excess/Diff.
Total Return
2.51%
19.31%
-16.80%
Annualized Return
4.01%
21.81%
-17.79%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
17.06%
20.17%
0.85x
Max Drawdown
15.51%
18.75%
0.83x
Sharpe Ratio
0.06
0.93
-0.87
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.10
Lower than market
Low Volatility
Annualized Alpha
1.95%
Positive Alpha
Good
Information Ratio
-0.72
Low IR
Poor
Correlation Coeff.
0.12
Weakly Correlated
Weak Link
R-Squared
1.44%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
13.40%
Captures part of up moves
Down Capture Ratio
11.94%
Falls less than market