Stock vs. Benchmark Comparison
Data updated: 2025-09-24 01:18 UTC
Roku (ROKU)
标普500 (SPY)
📈 Cumulative Return
27.89%
vs Benchmark 18.57%
📊 Volatility (Ann.)
61.1%
Benchmark 19.4%
⚠️ 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
33.49%
Beta
1.93
Ann. Alpha
7.10%
Information Ratio
0.65
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 24.39%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 7.10%.
- A high Beta value (1.93) 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 (0.65) 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
27.89%
18.57%
9.32%
Annualized Return
54.36%
20.88%
33.49%
Risk Metrics
Metric
ROKU
SPY
Ratio/Diff.
Annualized Volatility
61.09%
19.43%
3.14x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
0.84
0.92
-0.08
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.93
Higher than market
High Volatility
Annualized Alpha
7.10%
Positive Alpha
Good
Information Ratio
0.65
High IR
Excellent
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
37.66%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
182.80%
Outperforms in up markets
Down Capture Ratio
172.18%
Falls more than market