Stock vs. Benchmark Comparison
Data updated: 2025-05-06 15:54 UTC
达美航空 (DAL)
标普500 (SPY)
📈 Cumulative Return
-9.85%
vs Benchmark 13.00%
📊 Volatility (Ann.)
47.2%
Benchmark 20.0%
⚠️ 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
-14.93%
Beta
1.61
Ann. Alpha
-20.21%
Information Ratio
-0.41
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 13.81%.
- The stock showed negative stock selection ability, with an annualized Alpha of -20.21%.
- A high Beta value (1.61) indicates the stock is more sensitive to market changes and has higher volatility.
- 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
DAL
SPY
Excess/Diff.
Total Return
-9.85%
13.00%
-22.85%
Annualized Return
0.39%
15.32%
-14.93%
Risk Metrics
Metric
DAL
SPY
Ratio/Diff.
Annualized Volatility
47.23%
20.05%
2.36x
Max Drawdown
47.92%
18.76%
2.55x
Sharpe Ratio
-0.06
0.61
-0.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.61
Higher than market
High Volatility
Annualized Alpha
-20.21%
Negative Alpha
Poor
Information Ratio
-0.41
Moderate IR
Fair
Correlation Coeff.
0.68
Moderately Correlated
Clear Link
R-Squared
46.72%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
110.43%
Outperforms in up markets
Down Capture Ratio
127.35%
Falls more than market