Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:13 UTC
艾伯维 (ABBV)
标普500 (SPY)
📈 Cumulative Return
9.40%
vs Benchmark 24.38%
📊 Volatility (Ann.)
27.7%
Benchmark 19.9%
⚠️ 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
-13.16%
Beta
0.42
Ann. Alpha
3.06%
Information Ratio
-0.46
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 10.91%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 3.06%.
- A low Beta value (0.42) indicates the stock's volatility is lower than the market average.
- 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
ABBV
SPY
Excess/Diff.
Total Return
9.40%
24.38%
-14.99%
Annualized Return
13.79%
26.95%
-13.16%
Risk Metrics
Metric
ABBV
SPY
Ratio/Diff.
Annualized Volatility
27.69%
19.93%
1.39x
Max Drawdown
20.74%
18.75%
1.11x
Sharpe Ratio
0.39
1.20
-0.81
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.42
Lower than market
Low Volatility
Annualized Alpha
3.06%
Positive Alpha
Good
Information Ratio
-0.46
Moderate IR
Fair
Correlation Coeff.
0.30
Weakly Correlated
Weak Link
R-Squared
8.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
32.42%
Captures part of up moves
Down Capture Ratio
26.32%
Falls less than market