Stock vs. Benchmark Comparison
Data updated: 2025-08-09 11:36 UTC
Roku (ROKU)
标普500 (SPY)
📈 Cumulative Return
56.72%
vs Benchmark 22.59%
📊 Volatility (Ann.)
63.3%
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
66.68%
Beta
1.98
Ann. Alpha
23.07%
Information Ratio
1.25
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 42.62%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 23.07%.
- A high Beta value (1.98) 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 (1.25) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ROKU
SPY
Excess/Diff.
Total Return
56.72%
22.59%
34.13%
Annualized Return
91.79%
25.12%
66.68%
Risk Metrics
Metric
ROKU
SPY
Ratio/Diff.
Annualized Volatility
63.31%
19.93%
3.18x
Max Drawdown
44.38%
18.75%
2.37x
Sharpe Ratio
1.40
1.11
0.29
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.98
Higher than market
High Volatility
Annualized Alpha
23.07%
Positive Alpha
Good
Information Ratio
1.25
High IR
Excellent
Correlation Coeff.
0.62
Moderately Correlated
Clear Link
R-Squared
38.96%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
199.25%
Outperforms in up markets
Down Capture Ratio
175.26%
Falls more than market