Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
亚马逊 (AMZN)
标普500 (SPY)
📈 Cumulative Return
27.31%
vs Benchmark 19.31%
📊 Volatility (Ann.)
34.0%
Benchmark 20.2%
⚠️ 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
13.13%
Beta
1.31
Ann. Alpha
4.12%
Information Ratio
0.59
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 10.21%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 4.12%.
- A high Beta value (1.31) 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 (0.59) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
AMZN
SPY
Excess/Diff.
Total Return
27.31%
19.31%
8.00%
Annualized Return
34.94%
21.81%
13.13%
Risk Metrics
Metric
AMZN
SPY
Ratio/Diff.
Annualized Volatility
33.97%
20.17%
1.68x
Max Drawdown
30.88%
18.75%
1.65x
Sharpe Ratio
0.94
0.93
0.01
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.31
Higher than market
High Volatility
Annualized Alpha
4.12%
Positive Alpha
Good
Information Ratio
0.59
High IR
Excellent
Correlation Coeff.
0.78
Moderately Correlated
Clear Link
R-Squared
60.90%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
136.45%
Outperforms in up markets
Down Capture Ratio
133.00%
Falls more than market