Stock vs. Benchmark Comparison
Data updated: 2025-05-06 19:53 UTC
亚马逊 (AMZN)
标普500 (SPY)
📈 Cumulative Return
0.88%
vs Benchmark 13.00%
📊 Volatility (Ann.)
33.4%
Benchmark 20.0%
⚠️ 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
-8.65%
Beta
1.30
Ann. Alpha
-11.36%
Information Ratio
-0.40
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.77%.
- The stock showed negative stock selection ability, with an annualized Alpha of -11.36%.
- A high Beta value (1.30) 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
AMZN
SPY
Excess/Diff.
Total Return
0.88%
13.00%
-12.12%
Annualized Return
6.67%
15.32%
-8.65%
Risk Metrics
Metric
AMZN
SPY
Ratio/Diff.
Annualized Volatility
33.45%
20.05%
1.67x
Max Drawdown
30.88%
18.76%
1.65x
Sharpe Ratio
0.11
0.61
-0.50
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.30
Higher than market
High Volatility
Annualized Alpha
-11.36%
Negative Alpha
Poor
Information Ratio
-0.40
Moderate IR
Fair
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
60.51%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
126.97%
Outperforms in up markets
Down Capture Ratio
139.81%
Falls more than market