Stock vs. Benchmark Comparison
Data updated: 2025-05-07 22:38 UTC
百事可乐 (PEP)
标普500 (SPY)
📈 Cumulative Return
-23.31%
vs Benchmark 10.68%
📊 Volatility (Ann.)
19.6%
Benchmark 20.0%
⚠️ 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
-34.84%
Beta
0.12
Ann. Alpha
-23.02%
Information Ratio
-1.32
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 36.73%.
- The stock showed negative stock selection ability, with an annualized Alpha of -23.02%.
- A low Beta value (0.12) 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 (-1.32) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PEP
SPY
Excess/Diff.
Total Return
-23.31%
10.68%
-33.99%
Annualized Return
-21.90%
12.94%
-34.84%
Risk Metrics
Metric
PEP
SPY
Ratio/Diff.
Annualized Volatility
19.64%
20.03%
0.98x
Max Drawdown
26.23%
18.76%
1.40x
Sharpe Ratio
-1.27
0.50
-1.76
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.12
Lower than market
Low Volatility
Annualized Alpha
-23.02%
Negative Alpha
Poor
Information Ratio
-1.32
Low IR
Poor
Correlation Coeff.
0.12
Weakly Correlated
Weak Link
R-Squared
1.48%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-13.56%
Moves opposite in up markets
Down Capture Ratio
11.61%
Falls less than market