Stock vs. Benchmark Comparison
Data updated: 2025-07-17 17:13 UTC
强生 (JNJ)
标普500 (SPY)
📈 Cumulative Return
6.20%
vs Benchmark 9.73%
📊 Volatility (Ann.)
19.0%
Benchmark 20.5%
*
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
-3.90%
Beta
0.01
Ann. Alpha
8.08%
Information Ratio
-0.14
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 3.53%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 8.08%.
- A low Beta value (0.01) 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
JNJ
SPY
Excess/Diff.
Total Return
6.20%
9.73%
-3.53%
Annualized Return
8.16%
12.06%
-3.90%
Risk Metrics
Metric
JNJ
SPY
Ratio/Diff.
Annualized Volatility
19.00%
20.49%
0.93x
Max Drawdown
14.45%
18.76%
0.77x
Sharpe Ratio
0.27
0.44
-0.17
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.01
Lower than market
Low Volatility
Annualized Alpha
8.08%
Positive Alpha
Good
Information Ratio
-0.14
Moderate IR
Fair
Correlation Coeff.
0.01
Weakly Correlated
Weak Link
R-Squared
0.01%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-2.58%
Moves opposite in up markets
Down Capture Ratio
-11.08%
Rises when market falls