Stock vs. Benchmark Comparison
Data updated: 2025-10-14 10:24 UTC
达美航空 (DAL)
标普500 (SPY)
📈 Cumulative Return
17.79%
vs Benchmark 16.48%
📊 Volatility (Ann.)
50.3%
Benchmark 19.6%
⚠️ 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
14.37%
Beta
1.76
Ann. Alpha
-1.72%
Information Ratio
0.36
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 11.38%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.72%.
- A high Beta value (1.76) 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
17.79%
16.48%
1.31%
Annualized Return
33.15%
18.79%
14.37%
Risk Metrics
Metric
DAL
SPY
Ratio/Diff.
Annualized Volatility
50.26%
19.62%
2.56x
Max Drawdown
47.92%
18.76%
2.55x
Sharpe Ratio
0.60
0.80
-0.20
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.76
Higher than market
High Volatility
Annualized Alpha
-1.72%
Negative Alpha
Poor
Information Ratio
0.36
Moderate IR
Fair
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
47.44%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
153.50%
Outperforms in up markets
Down Capture Ratio
150.88%
Falls more than market