Stock vs. Benchmark Comparison
Data updated: 2025-06-23 17:53 UTC
百事可乐 (PEP)
标普500 (SPY)
📈 Cumulative Return
-19.65%
vs Benchmark 9.73%
📊 Volatility (Ann.)
19.4%
Benchmark 20.5%
⚠️ 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
-30.25%
Beta
0.15
Ann. Alpha
-19.57%
Information Ratio
-1.17
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 31.33%.
- The stock showed negative stock selection ability, with an annualized Alpha of -19.57%.
- A low Beta value (0.15) 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 (-1.17) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PEP
SPY
Excess/Diff.
Total Return
-19.65%
9.73%
-29.37%
Annualized Return
-18.19%
12.06%
-30.25%
Risk Metrics
Metric
PEP
SPY
Ratio/Diff.
Annualized Volatility
19.44%
20.49%
0.95x
Max Drawdown
26.66%
18.76%
1.42x
Sharpe Ratio
-1.09
0.44
-1.53
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.15
Lower than market
Low Volatility
Annualized Alpha
-19.57%
Negative Alpha
Poor
Information Ratio
-1.17
Low IR
Poor
Correlation Coeff.
0.16
Weakly Correlated
Weak Link
R-Squared
2.47%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
-2.15%
Moves opposite in up markets
Down Capture Ratio
18.56%
Falls less than market