Stock vs. Benchmark Comparison
Data updated: 2025-05-06 10:26 UTC
可口可乐 (KO)
标普500 (SPY)
📈 Cumulative Return
19.12%
vs Benchmark 13.00%
📊 Volatility (Ann.)
16.5%
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
5.52%
Beta
0.07
Ann. Alpha
19.58%
Information Ratio
0.22
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.66%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 19.58%.
- A low Beta value (0.07) 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
19.12%
13.00%
6.12%
Annualized Return
20.83%
15.32%
5.52%
Risk Metrics
Metric
KO
SPY
Ratio/Diff.
Annualized Volatility
16.51%
20.05%
0.82x
Max Drawdown
15.51%
18.76%
0.83x
Sharpe Ratio
1.08
0.61
0.47
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.07
Lower than market
Low Volatility
Annualized Alpha
19.58%
Positive Alpha
Good
Information Ratio
0.22
Moderate IR
Fair
Correlation Coeff.
0.09
Weakly Correlated
Weak Link
R-Squared
0.79%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
12.72%
Captures part of up moves
Down Capture Ratio
-6.14%
Rises when market falls