Stock vs. Benchmark Comparison
Data updated: 2025-06-21 22:24 UTC
Shopify (SHOP)
标普500 (SPY)
📈 Cumulative Return
65.60%
vs Benchmark 9.73%
📊 Volatility (Ann.)
61.0%
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
86.71%
Beta
2.06
Ann. Alpha
57.30%
Information Ratio
1.77
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 57.18%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 57.30%.
- A high Beta value (2.06) 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 (1.77) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
SHOP
SPY
Excess/Diff.
Total Return
65.60%
9.73%
55.88%
Annualized Return
98.78%
12.06%
86.71%
Risk Metrics
Metric
SHOP
SPY
Ratio/Diff.
Annualized Volatility
60.99%
20.49%
2.98x
Max Drawdown
40.54%
18.76%
2.16x
Sharpe Ratio
1.57
0.44
1.13
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.06
Higher than market
High Volatility
Annualized Alpha
57.30%
Positive Alpha
Good
Information Ratio
1.77
High IR
Excellent
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
47.84%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
227.77%
Outperforms in up markets
Down Capture Ratio
182.99%
Falls more than market