Stock vs. Benchmark Comparison
Data updated: 2025-06-21 09:13 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
16.33%
vs Benchmark 11.68%
📊 Volatility (Ann.)
17.0%
Benchmark 20.4%
*
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
4.04%
Beta
0.06
Ann. Alpha
17.13%
Information Ratio
0.16
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 3.47%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 17.13%.
- A low Beta value (0.06) 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
KO
SPY
Excess/Diff.
Total Return
16.33%
11.68%
4.65%
Annualized Return
18.09%
14.05%
4.04%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
17.02%
20.43%
0.83x
Max Drawdown
15.51%
18.76%
0.83x
Sharpe Ratio
0.89
0.54
0.35
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.06
Lower than market
Low Volatility
Annualized Alpha
17.13%
Positive Alpha
Good
Information Ratio
0.16
Moderate IR
Fair
Correlation Coeff.
0.07
Weakly Correlated
Weak Link
R-Squared
0.55%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
11.33%
Captures part of up moves
Down Capture Ratio
-4.73%
Rises when market falls