Stock vs. Benchmark Comparison
Data updated: 2025-05-06 11:31 UTC
艾伯维 (ABBV)
标普500 (SPY)
📈 Cumulative Return
26.36%
vs Benchmark 13.00%
📊 Volatility (Ann.)
27.1%
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
15.97%
Beta
0.35
Ann. Alpha
24.91%
Information Ratio
0.55
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 12.93%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 24.91%.
- A low Beta value (0.35) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (0.55) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ABBV
SPY
Excess/Diff.
Total Return
26.36%
13.00%
13.36%
Annualized Return
31.29%
15.32%
15.97%
Risk Metrics
Metric
ABBV
SPY
Ratio/Diff.
Annualized Volatility
27.12%
20.05%
1.35x
Max Drawdown
20.74%
18.76%
1.11x
Sharpe Ratio
1.04
0.61
0.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.35
Lower than market
Low Volatility
Annualized Alpha
24.91%
Positive Alpha
Good
Information Ratio
0.55
High IR
Excellent
Correlation Coeff.
0.26
Weakly Correlated
Weak Link
R-Squared
6.69%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
26.95%
Captures part of up moves
Down Capture Ratio
1.16%
Falls less than market