Stock vs. Benchmark Comparison
Data updated: 2025-06-22 04:49 UTC
威瑞森 (VZ)
标普500 (SPY)
📈 Cumulative Return
11.05%
vs Benchmark 9.73%
📊 Volatility (Ann.)
22.4%
Benchmark 20.5%
*
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
1.88%
Beta
0.07
Ann. Alpha
13.07%
Information Ratio
0.06
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 1.65%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 13.07%.
- 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
11.05%
9.73%
1.33%
Annualized Return
13.94%
12.06%
1.88%
Risk Metrics
Metric
VZ
SPY
Ratio/Diff.
Annualized Volatility
22.41%
20.49%
1.09x
Max Drawdown
13.57%
18.76%
0.72x
Sharpe Ratio
0.49
0.44
0.05
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.07
Lower than market
Low Volatility
Annualized Alpha
13.07%
Positive Alpha
Good
Information Ratio
0.06
Moderate IR
Fair
Correlation Coeff.
0.06
Weakly Correlated
Weak Link
R-Squared
0.38%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
11.86%
Captures part of up moves
Down Capture Ratio
-0.36%
Rises when market falls