Stock vs. Benchmark Comparison
Data updated: 2025-05-06 16:45 UTC
Roblox (RBLX)
标普500 (SPY)
📈 Cumulative Return
92.34%
vs Benchmark 13.00%
📊 Volatility (Ann.)
51.4%
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
105.02%
Beta
1.10
Ann. Alpha
88.47%
Information Ratio
2.26
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 64.61%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 88.47%.
- A Beta value (1.10) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A high Information Ratio (2.26) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
RBLX
SPY
Excess/Diff.
Total Return
92.34%
13.00%
79.34%
Annualized Return
120.34%
15.32%
105.02%
Risk Metrics
Metric
RBLX
SPY
Ratio/Diff.
Annualized Volatility
51.35%
20.05%
2.56x
Max Drawdown
32.13%
18.76%
1.71x
Sharpe Ratio
2.28
0.61
1.67
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.10
Similar to market
Medium Volatility
Annualized Alpha
88.47%
Positive Alpha
Good
Information Ratio
2.26
High IR
Excellent
Correlation Coeff.
0.43
Low Correlation
Weak Link
R-Squared
18.40%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
139.77%
Outperforms in up markets
Down Capture Ratio
74.52%
Falls less than market