Stock vs. Benchmark Comparison
Data updated: 2025-06-21 22:42 UTC
艾伯维 (ABBV)
标普500 (SPY)
📈 Cumulative Return
12.07%
vs Benchmark 9.73%
📊 Volatility (Ann.)
28.0%
Benchmark 20.5%
⚠️ 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
4.62%
Beta
0.38
Ann. Alpha
11.77%
Information Ratio
0.16
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.03%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 11.77%.
- A low Beta value (0.38) 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
12.07%
9.73%
2.34%
Annualized Return
16.69%
12.06%
4.62%
Risk Metrics
Metric
ABBV
SPY
Ratio/Diff.
Annualized Volatility
28.02%
20.49%
1.37x
Max Drawdown
20.74%
18.76%
1.11x
Sharpe Ratio
0.49
0.44
0.05
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.38
Lower than market
Low Volatility
Annualized Alpha
11.77%
Positive Alpha
Good
Information Ratio
0.16
Moderate IR
Fair
Correlation Coeff.
0.28
Weakly Correlated
Weak Link
R-Squared
7.63%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
25.59%
Captures part of up moves
Down Capture Ratio
12.51%
Falls less than market