Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
美国航空 (AAL)
标普500 (SPY)
📈 Cumulative Return
20.87%
vs Benchmark 19.31%
📊 Volatility (Ann.)
54.7%
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
18.16%
Beta
1.63
Ann. Alpha
1.47%
Information Ratio
0.40
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.86%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 1.47%.
- A high Beta value (1.63) 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
AAL
SPY
Excess/Diff.
Total Return
20.87%
19.31%
1.57%
Annualized Return
39.96%
21.81%
18.16%
Risk Metrics
Metric
AAL
SPY
Ratio/Diff.
Annualized Volatility
54.74%
20.17%
2.71x
Max Drawdown
51.39%
18.75%
2.74x
Sharpe Ratio
0.68
0.93
-0.26
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.63
Higher than market
High Volatility
Annualized Alpha
1.47%
Positive Alpha
Good
Information Ratio
0.40
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
36.09%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
135.27%
Outperforms in up markets
Down Capture Ratio
127.42%
Falls more than market