Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:48 UTC
威瑞森 (VZ)
标普500 (SPY)
📈 Cumulative Return
13.25%
vs Benchmark 22.08%
📊 Volatility (Ann.)
21.6%
Benchmark 19.8%
*
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
-8.58%
Beta
0.08
Ann. Alpha
13.89%
Information Ratio
-0.30
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.11%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 13.89%.
- A low Beta value (0.08) 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
13.25%
22.08%
-8.84%
Annualized Return
15.99%
24.57%
-8.58%
Risk Metrics
Metric
VZ
SPY
Ratio/Diff.
Annualized Volatility
21.64%
19.83%
1.09x
Max Drawdown
13.57%
18.75%
0.72x
Sharpe Ratio
0.60
1.09
-0.49
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.08
Lower than market
Low Volatility
Annualized Alpha
13.89%
Positive Alpha
Good
Information Ratio
-0.30
Moderate IR
Fair
Correlation Coeff.
0.08
Weakly Correlated
Weak Link
R-Squared
0.59%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
20.04%
Captures part of up moves
Down Capture Ratio
7.78%
Falls less than market