Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:18 UTC
美国航空 (AAL)
标普500 (SPY)
📈 Cumulative Return
25.49%
vs Benchmark 24.38%
📊 Volatility (Ann.)
54.6%
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
18.28%
Beta
1.64
Ann. Alpha
-1.75%
Information Ratio
0.40
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.42%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.75%.
- A high Beta value (1.64) 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
25.49%
24.38%
1.10%
Annualized Return
45.23%
26.95%
18.28%
Risk Metrics
Metric
AAL
SPY
Ratio/Diff.
Annualized Volatility
54.62%
19.93%
2.74x
Max Drawdown
51.39%
18.75%
2.74x
Sharpe Ratio
0.77
1.20
-0.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.64
Higher than market
High Volatility
Annualized Alpha
-1.75%
Negative Alpha
Poor
Information Ratio
0.40
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
35.74%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
134.12%
Outperforms in up markets
Down Capture Ratio
127.86%
Falls more than market