Stock vs. Benchmark Comparison
Data updated: 2025-09-24 02:11 UTC
Zoom (ZM)
标普500 (SPY)
📈 Cumulative Return
24.84%
vs Benchmark 18.57%
📊 Volatility (Ann.)
33.0%
Benchmark 19.4%
⚠️ 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
10.97%
Beta
0.86
Ann. Alpha
11.98%
Information Ratio
0.38
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.66%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 11.98%.
- A Beta value (0.86) 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
ZM
SPY
Excess/Diff.
Total Return
24.84%
18.57%
6.27%
Annualized Return
31.85%
20.88%
10.97%
Risk Metrics
Metric
ZM
SPY
Ratio/Diff.
Annualized Volatility
33.01%
19.43%
1.70x
Max Drawdown
25.08%
18.76%
1.34x
Sharpe Ratio
0.87
0.92
-0.05
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.86
Similar to market
Medium Volatility
Annualized Alpha
11.98%
Positive Alpha
Good
Information Ratio
0.38
Moderate IR
Fair
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
25.72%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
97.75%
Captures part of up moves
Down Capture Ratio
86.72%
Falls less than market