Stock vs. Benchmark Comparison
Data updated: 2025-06-22 08:33 UTC
亚马逊 (AMZN)
标普500 (SPY)
📈 Cumulative Return
14.70%
vs Benchmark 9.73%
📊 Volatility (Ann.)
34.8%
Benchmark 20.5%
⚠️ 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
9.80%
Beta
1.34
Ann. Alpha
4.60%
Information Ratio
0.44
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.35%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.60%.
- A high Beta value (1.34) 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
14.70%
9.73%
4.98%
Annualized Return
21.86%
12.06%
9.80%
Risk Metrics
Metric
AMZN
SPY
Ratio/Diff.
Annualized Volatility
34.75%
20.49%
1.70x
Max Drawdown
30.88%
18.76%
1.65x
Sharpe Ratio
0.54
0.44
0.10
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.34
Higher than market
High Volatility
Annualized Alpha
4.60%
Positive Alpha
Good
Information Ratio
0.44
Moderate IR
Fair
Correlation Coeff.
0.79
Moderately Correlated
Clear Link
R-Squared
62.53%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
143.35%
Outperforms in up markets
Down Capture Ratio
139.74%
Falls more than market