Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
星巴克 (SBUX)
标普500 (SPY)
📈 Cumulative Return
21.84%
vs Benchmark 19.31%
📊 Volatility (Ann.)
40.9%
Benchmark 20.2%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
10.21%
Beta
1.07
Ann. Alpha
6.97%
Information Ratio
0.29
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.02%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 6.97%.
- A Beta value (1.07) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- 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
SBUX
SPY
Excess/Diff.
Total Return
21.84%
19.31%
2.54%
Annualized Return
32.02%
21.81%
10.21%
Risk Metrics
Metric
SBUX
SPY
Ratio/Diff.
Annualized Volatility
40.95%
20.17%
2.03x
Max Drawdown
31.19%
18.75%
1.66x
Sharpe Ratio
0.71
0.93
-0.22
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.07
Similar to market
Medium Volatility
Annualized Alpha
6.97%
Positive Alpha
Good
Information Ratio
0.29
Moderate IR
Fair
Correlation Coeff.
0.53
Moderately Correlated
Clear Link
R-Squared
27.60%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
84.48%
Captures part of up moves
Down Capture Ratio
71.91%
Falls less than market