Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:12 UTC
亚马逊 (AMZN)
标普500 (SPY)
📈 Cumulative Return
36.81%
vs Benchmark 24.38%
📊 Volatility (Ann.)
33.9%
Benchmark 19.9%
⚠️ 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
18.07%
Beta
1.32
Ann. Alpha
5.88%
Information Ratio
0.81
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 13.27%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 5.88%.
- A high Beta value (1.32) 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.
- A high Information Ratio (0.81) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AMZN
SPY
Excess/Diff.
Total Return
36.81%
24.38%
12.43%
Annualized Return
45.02%
26.95%
18.07%
Risk Metrics
Metric
AMZN
SPY
Ratio/Diff.
Annualized Volatility
33.92%
19.93%
1.70x
Max Drawdown
30.88%
18.75%
1.65x
Sharpe Ratio
1.24
1.20
0.04
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.32
Higher than market
High Volatility
Annualized Alpha
5.88%
Positive Alpha
Good
Information Ratio
0.81
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
60.08%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
138.66%
Outperforms in up markets
Down Capture Ratio
133.83%
Falls more than market