Stock vs. Benchmark Comparison
Data updated: 2025-06-23 11:03 UTC
达美航空 (DAL)
标普500 (SPY)
📈 Cumulative Return
-3.67%
vs Benchmark 9.73%
📊 Volatility (Ann.)
49.3%
Benchmark 20.5%
⚠️ 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
-3.73%
Beta
1.66
Ann. Alpha
-10.36%
Information Ratio
-0.10
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 3.37%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.36%.
- A high Beta value (1.66) indicates the stock is more sensitive to market changes and has higher volatility.
- 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
DAL
SPY
Excess/Diff.
Total Return
-3.67%
9.73%
-13.40%
Annualized Return
8.33%
12.06%
-3.73%
Risk Metrics
Metric
DAL
SPY
Ratio/Diff.
Annualized Volatility
49.27%
20.49%
2.40x
Max Drawdown
47.93%
18.76%
2.56x
Sharpe Ratio
0.11
0.44
-0.33
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.66
Higher than market
High Volatility
Annualized Alpha
-10.36%
Negative Alpha
Poor
Information Ratio
-0.10
Moderate IR
Fair
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
47.83%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
133.67%
Outperforms in up markets
Down Capture Ratio
141.21%
Falls more than market