Stock vs. Benchmark Comparison
Data updated: 2025-09-25 22:40 UTC
百事可乐 (PEP)
标普500 (SPY)
📈 Cumulative Return
-14.21%
vs Benchmark 17.46%
📊 Volatility (Ann.)
21.8%
Benchmark 19.4%
⚠️ 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
-31.94%
Beta
0.21
Ann. Alpha
-15.43%
Information Ratio
-1.21
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 30.91%.
- The stock showed negative stock selection ability, with an annualized Alpha of -15.43%.
- A low Beta value (0.21) 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 (-1.21) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PEP
SPY
Excess/Diff.
Total Return
-14.21%
17.46%
-31.67%
Annualized Return
-12.20%
19.74%
-31.94%
Risk Metrics
Metric
PEP
SPY
Ratio/Diff.
Annualized Volatility
21.83%
19.44%
1.12x
Max Drawdown
25.79%
18.76%
1.37x
Sharpe Ratio
-0.70
0.86
-1.56
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.21
Lower than market
Low Volatility
Annualized Alpha
-15.43%
Negative Alpha
Poor
Information Ratio
-1.21
Low IR
Poor
Correlation Coeff.
0.18
Weakly Correlated
Weak Link
R-Squared
3.42%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
10.71%
Captures part of up moves
Down Capture Ratio
28.62%
Falls less than market