Stock vs. Benchmark Comparison
Data updated: 2025-09-07 12:28 UTC
强生 (JNJ)
标普500 (SPY)
📈 Cumulative Return
10.06%
vs Benchmark 18.94%
📊 Volatility (Ann.)
19.2%
Benchmark 19.6%
*
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
-9.15%
Beta
0.06
Ann. Alpha
10.84%
Information Ratio
-0.34
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.82%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 10.84%.
- 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
JNJ
SPY
Excess/Diff.
Total Return
10.06%
18.94%
-8.88%
Annualized Return
12.15%
21.30%
-9.15%
Risk Metrics
Metric
JNJ
SPY
Ratio/Diff.
Annualized Volatility
19.18%
19.62%
0.98x
Max Drawdown
14.44%
18.75%
0.77x
Sharpe Ratio
0.48
0.93
-0.46
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.06
Lower than market
Low Volatility
Annualized Alpha
10.84%
Positive Alpha
Good
Information Ratio
-0.34
Moderate IR
Fair
Correlation Coeff.
0.06
Weakly Correlated
Weak Link
R-Squared
0.39%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
11.67%
Captures part of up moves
Down Capture Ratio
0.78%
Falls less than market