Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:11 UTC
威瑞森 (VZ)
标普500 (SPY)
📈 Cumulative Return
14.30%
vs Benchmark 24.38%
📊 Volatility (Ann.)
21.6%
Benchmark 19.9%
*
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
-9.87%
Beta
0.09
Ann. Alpha
14.71%
Information Ratio
-0.35
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 8.07%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 14.71%.
- A low Beta value (0.09) indicates the stock's volatility is lower than the market average.
- The stock's risk level is similar to the benchmark index.
- 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
VZ
SPY
Excess/Diff.
Total Return
14.30%
24.38%
-10.08%
Annualized Return
17.08%
26.95%
-9.87%
Risk Metrics
Metric
VZ
SPY
Ratio/Diff.
Annualized Volatility
21.65%
19.93%
1.09x
Max Drawdown
13.57%
18.75%
0.72x
Sharpe Ratio
0.65
1.20
-0.55
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.09
Lower than market
Low Volatility
Annualized Alpha
14.71%
Positive Alpha
Good
Information Ratio
-0.35
Moderate IR
Fair
Correlation Coeff.
0.08
Weakly Correlated
Weak Link
R-Squared
0.62%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
20.65%
Captures part of up moves
Down Capture Ratio
7.88%
Falls less than market