Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
艾伯维 (ABBV)
标普500 (SPY)
📈 Cumulative Return
8.65%
vs Benchmark 19.31%
📊 Volatility (Ann.)
27.8%
Benchmark 20.2%
⚠️ 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
-8.77%
Beta
0.43
Ann. Alpha
3.88%
Information Ratio
-0.30
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.45%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 3.88%.
- 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
8.65%
19.31%
-10.66%
Annualized Return
13.04%
21.81%
-8.77%
Risk Metrics
Metric
ABBV
SPY
Ratio/Diff.
Annualized Volatility
27.78%
20.17%
1.38x
Max Drawdown
20.74%
18.75%
1.11x
Sharpe Ratio
0.36
0.93
-0.57
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.43
Lower than market
Low Volatility
Annualized Alpha
3.88%
Positive Alpha
Good
Information Ratio
-0.30
Moderate IR
Fair
Correlation Coeff.
0.31
Low Correlation
Weak Link
R-Squared
9.66%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
34.72%
Captures part of up moves
Down Capture Ratio
28.61%
Falls less than market