Stock vs. Benchmark Comparison
Data updated: 2025-08-07 05:37 UTC
AT&T (T)
标普500 (SPY)
📈 Cumulative Return
50.11%
vs Benchmark 19.31%
📊 Volatility (Ann.)
22.7%
Benchmark 20.2%
*
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
32.45%
Beta
0.12
Ann. Alpha
50.61%
Information Ratio
1.13
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 23.55%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 50.61%.
- 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 (1.13) 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
50.11%
19.31%
30.80%
Annualized Return
54.25%
21.81%
32.45%
Risk Metrics
Metric
T
SPY
Ratio/Diff.
Annualized Volatility
22.66%
20.17%
1.12x
Max Drawdown
8.57%
18.75%
0.46x
Sharpe Ratio
2.26
0.93
1.33
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.12
Lower than market
Low Volatility
Annualized Alpha
50.61%
Positive Alpha
Good
Information Ratio
1.13
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
36.95%
Captures part of up moves
Down Capture Ratio
-3.85%
Rises when market falls