Stock vs. Benchmark Comparison
Data updated: 2025-05-06 19:09 UTC
美国航空 (AAL)
标普500 (SPY)
📈 Cumulative Return
-23.02%
vs Benchmark 13.00%
📊 Volatility (Ann.)
53.0%
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
-27.04%
Beta
1.56
Ann. Alpha
-29.35%
Information Ratio
-0.61
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 26.61%.
- The stock showed negative stock selection ability, with an annualized Alpha of -29.35%.
- A high Beta value (1.56) 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.
- A negative Information Ratio (-0.61) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AAL
SPY
Excess/Diff.
Total Return
-23.02%
13.00%
-36.02%
Annualized Return
-11.72%
15.32%
-27.04%
Risk Metrics
Metric
AAL
SPY
Ratio/Diff.
Annualized Volatility
53.03%
20.05%
2.65x
Max Drawdown
51.39%
18.76%
2.74x
Sharpe Ratio
-0.28
0.61
-0.89
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.56
Higher than market
High Volatility
Annualized Alpha
-29.35%
Negative Alpha
Poor
Information Ratio
-0.61
Low IR
Poor
Correlation Coeff.
0.59
Moderately Correlated
Clear Link
R-Squared
34.82%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
99.13%
Captures part of up moves
Down Capture Ratio
128.45%
Falls more than market