Stock vs. Benchmark Comparison
Data updated: 2025-09-24 11:38 UTC
AT&T (T)
标普500 (SPY)
📈 Cumulative Return
39.89%
vs Benchmark 18.13%
📊 Volatility (Ann.)
22.3%
Benchmark 19.4%
*
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
23.16%
Beta
0.12
Ann. Alpha
40.33%
Information Ratio
0.83
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 17.54%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 40.33%.
- A low Beta value (0.12) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (0.83) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
T
SPY
Excess/Diff.
Total Return
39.89%
18.13%
21.76%
Annualized Return
43.59%
20.43%
23.16%
Risk Metrics
Metric
T
SPY
Ratio/Diff.
Annualized Volatility
22.25%
19.44%
1.14x
Max Drawdown
8.57%
18.76%
0.46x
Sharpe Ratio
1.82
0.90
0.93
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.12
Lower than market
Low Volatility
Annualized Alpha
40.33%
Positive Alpha
Good
Information Ratio
0.83
High IR
Excellent
Correlation Coeff.
0.11
Weakly Correlated
Weak Link
R-Squared
1.17%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
32.32%
Captures part of up moves
Down Capture Ratio
-4.01%
Rises when market falls