Stock vs. Benchmark Comparison
Data updated: 2025-05-06 15:59 UTC
威瑞森 (VZ)
标普500 (SPY)
📈 Cumulative Return
19.39%
vs Benchmark 13.00%
📊 Volatility (Ann.)
22.4%
Benchmark 20.0%
*
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
7.21%
Beta
0.07
Ann. Alpha
21.31%
Information Ratio
0.25
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 6.04%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 21.31%.
- A low Beta value (0.07) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- 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
VZ
SPY
Excess/Diff.
Total Return
19.39%
13.00%
6.39%
Annualized Return
22.52%
15.32%
7.21%
Risk Metrics
Metric
VZ
SPY
Ratio/Diff.
Annualized Volatility
22.41%
20.05%
1.12x
Max Drawdown
13.57%
18.76%
0.72x
Sharpe Ratio
0.87
0.61
0.26
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.07
Lower than market
Low Volatility
Annualized Alpha
21.31%
Positive Alpha
Good
Information Ratio
0.25
Moderate IR
Fair
Correlation Coeff.
0.06
Weakly Correlated
Weak Link
R-Squared
0.39%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
15.61%
Captures part of up moves
Down Capture Ratio
-4.33%
Rises when market falls