Stock vs. Benchmark Comparison
Data updated: 2025-08-09 11:28 UTC
百事可乐 (PEP)
标普500 (SPY)
📈 Cumulative Return
-13.53%
vs Benchmark 22.59%
📊 Volatility (Ann.)
21.4%
Benchmark 19.9%
⚠️ 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
-36.70%
Beta
0.19
Ann. Alpha
-15.34%
Information Ratio
-1.39
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 34.59%.
- The stock showed negative stock selection ability, with an annualized Alpha of -15.34%.
- A low Beta value (0.19) 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 (-1.39) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PEP
SPY
Excess/Diff.
Total Return
-13.53%
22.59%
-36.12%
Annualized Return
-11.58%
25.12%
-36.70%
Risk Metrics
Metric
PEP
SPY
Ratio/Diff.
Annualized Volatility
21.41%
19.93%
1.07x
Max Drawdown
26.66%
18.75%
1.42x
Sharpe Ratio
-0.68
1.11
-1.79
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.19
Lower than market
Low Volatility
Annualized Alpha
-15.34%
Negative Alpha
Poor
Information Ratio
-1.39
Low IR
Poor
Correlation Coeff.
0.18
Weakly Correlated
Weak Link
R-Squared
3.25%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
12.44%
Captures part of up moves
Down Capture Ratio
30.07%
Falls less than market