Stock vs. Benchmark Comparison
Data updated: 2025-06-21 11:26 UTC
星巴克 (SBUX)
标普500 (SPY)
📈 Cumulative Return
20.41%
vs Benchmark 11.68%
📊 Volatility (Ann.)
41.6%
Benchmark 20.4%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
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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
16.74%
Beta
1.04
Ann. Alpha
14.13%
Information Ratio
0.47
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.65%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 14.13%.
- A Beta value (1.04) 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
20.41%
11.68%
8.73%
Annualized Return
30.79%
14.05%
16.74%
Risk Metrics
Metric
SBUX
SPY
Ratio/Diff.
Annualized Volatility
41.57%
20.43%
2.03x
Max Drawdown
31.19%
18.76%
1.66x
Sharpe Ratio
0.67
0.54
0.13
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.04
Similar to market
Medium Volatility
Annualized Alpha
14.13%
Positive Alpha
Good
Information Ratio
0.47
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
25.98%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
81.85%
Captures part of up moves
Down Capture Ratio
64.78%
Falls less than market