Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:46 UTC
Zoom (ZM)
标普500 (SPY)
📈 Cumulative Return
26.25%
vs Benchmark 10.68%
📊 Volatility (Ann.)
33.6%
Benchmark 20.0%
⚠️ 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
20.68%
Beta
0.78
Ann. Alpha
21.56%
Information Ratio
0.69
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 16.76%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 21.56%.
- A low Beta value (0.78) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.69) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ZM
SPY
Excess/Diff.
Total Return
26.25%
10.68%
15.57%
Annualized Return
33.62%
12.94%
20.68%
Risk Metrics
Metric
ZM
SPY
Ratio/Diff.
Annualized Volatility
33.63%
20.03%
1.68x
Max Drawdown
25.08%
18.76%
1.34x
Sharpe Ratio
0.91
0.50
0.41
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.78
Lower than market
Low Volatility
Annualized Alpha
21.56%
Positive Alpha
Good
Information Ratio
0.69
High IR
Excellent
Correlation Coeff.
0.46
Low Correlation
Weak Link
R-Squared
21.48%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
82.45%
Captures part of up moves
Down Capture Ratio
61.74%
Falls less than market