Stock vs. Benchmark Comparison
Data updated: 2025-09-26 17:30 UTC
艾伯维 (ABBV)
标普500 (SPY)
📈 Cumulative Return
16.97%
vs Benchmark 16.58%
📊 Volatility (Ann.)
27.9%
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
2.93%
Beta
0.43
Ann. Alpha
13.08%
Information Ratio
0.10
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 2.43%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 13.08%.
- A low Beta value (0.43) 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
16.97%
16.58%
0.39%
Annualized Return
21.78%
18.85%
2.93%
Risk Metrics
Metric
ABBV
SPY
Ratio/Diff.
Annualized Volatility
27.91%
19.45%
1.44x
Max Drawdown
20.74%
18.76%
1.11x
Sharpe Ratio
0.67
0.81
-0.14
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.43
Lower than market
Low Volatility
Annualized Alpha
13.08%
Positive Alpha
Good
Information Ratio
0.10
Moderate IR
Fair
Correlation Coeff.
0.30
Weakly Correlated
Weak Link
R-Squared
8.93%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
37.32%
Captures part of up moves
Down Capture Ratio
21.50%
Falls less than market