Stock vs. Benchmark Comparison
Data updated: 2025-09-23 22:19 UTC
亚马逊 (AMZN)
标普500 (SPY)
📈 Cumulative Return
19.89%
vs Benchmark 18.57%
📊 Volatility (Ann.)
33.5%
Benchmark 19.4%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
5.98%
Beta
1.32
Ann. Alpha
-1.16%
Information Ratio
0.27
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.81%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.16%.
- A high Beta value (1.32) 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
AMZN
SPY
Excess/Diff.
Total Return
19.89%
18.57%
1.32%
Annualized Return
26.86%
20.88%
5.98%
Risk Metrics
Metric
AMZN
SPY
Ratio/Diff.
Annualized Volatility
33.54%
19.43%
1.73x
Max Drawdown
30.88%
18.76%
1.65x
Sharpe Ratio
0.71
0.92
-0.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.32
Higher than market
High Volatility
Annualized Alpha
-1.16%
Negative Alpha
Poor
Information Ratio
0.27
Moderate IR
Fair
Correlation Coeff.
0.76
Moderately Correlated
Clear Link
R-Squared
58.15%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
136.75%
Outperforms in up markets
Down Capture Ratio
139.34%
Falls more than market