Stock vs. Benchmark Comparison
Data updated: 2025-06-23 02:38 UTC
Zoom (ZM)
标普500 (SPY)
📈 Cumulative Return
38.75%
vs Benchmark 9.73%
📊 Volatility (Ann.)
33.2%
Benchmark 20.5%
⚠️ 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
34.62%
Beta
0.76
Ann. Alpha
34.47%
Information Ratio
1.17
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 26.84%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 34.47%.
- A low Beta value (0.76) 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 (1.17) 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
38.75%
9.73%
29.02%
Annualized Return
46.69%
12.06%
34.62%
Risk Metrics
Metric
ZM
SPY
Ratio/Diff.
Annualized Volatility
33.21%
20.49%
1.62x
Max Drawdown
25.08%
18.76%
1.34x
Sharpe Ratio
1.32
0.44
0.87
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.76
Lower than market
Low Volatility
Annualized Alpha
34.47%
Positive Alpha
Good
Information Ratio
1.17
High IR
Excellent
Correlation Coeff.
0.47
Low Correlation
Weak Link
R-Squared
22.25%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
88.07%
Captures part of up moves
Down Capture Ratio
58.49%
Falls less than market