Stock vs. Benchmark Comparison
Data updated: 2025-05-11 01:51 UTC
Roku (ROKU)
标普500 (SPY)
📈 Cumulative Return
2.32%
vs Benchmark 10.51%
📊 Volatility (Ann.)
60.4%
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
10.11%
Beta
1.81
Ann. Alpha
-1.08%
Information Ratio
0.20
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.56%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.08%.
- A high Beta value (1.81) 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
ROKU
SPY
Excess/Diff.
Total Return
2.32%
10.51%
-8.19%
Annualized Return
22.86%
12.76%
10.11%
Risk Metrics
Metric
ROKU
SPY
Ratio/Diff.
Annualized Volatility
60.45%
20.02%
3.02x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
0.33
0.49
-0.16
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.81
Higher than market
High Volatility
Annualized Alpha
-1.08%
Negative Alpha
Poor
Information Ratio
0.20
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
35.78%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
170.60%
Outperforms in up markets
Down Capture Ratio
170.48%
Falls more than market