Stock vs. Benchmark Comparison
Data updated: 2025-09-26 03:18 UTC
美国航空 (AAL)
标普500 (SPY)
📈 Cumulative Return
3.17%
vs Benchmark 16.58%
📊 Volatility (Ann.)
56.2%
Benchmark 19.4%
⚠️ 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
1.45%
Beta
1.69
Ann. Alpha
-10.21%
Information Ratio
0.03
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 1.21%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.21%.
- A high Beta value (1.69) 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
AAL
SPY
Excess/Diff.
Total Return
3.17%
16.58%
-13.41%
Annualized Return
20.30%
18.85%
1.45%
Risk Metrics
Metric
AAL
SPY
Ratio/Diff.
Annualized Volatility
56.19%
19.45%
2.89x
Max Drawdown
51.39%
18.76%
2.74x
Sharpe Ratio
0.31
0.81
-0.51
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.69
Higher than market
High Volatility
Annualized Alpha
-10.21%
Negative Alpha
Poor
Information Ratio
0.03
Moderate IR
Fair
Correlation Coeff.
0.59
Moderately Correlated
Clear Link
R-Squared
34.35%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
132.51%
Outperforms in up markets
Down Capture Ratio
137.76%
Falls more than market