Stock vs. Benchmark Comparison
Data updated: 2025-05-07 21:29 UTC
Roku (ROKU)
标普500 (SPY)
📈 Cumulative Return
2.00%
vs Benchmark 10.68%
📊 Volatility (Ann.)
60.4%
Benchmark 20.0%
⚠️ 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
9.53%
Beta
1.81
Ann. Alpha
-1.69%
Information Ratio
0.19
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 8.07%.
- The stock showed negative stock selection ability, with an annualized Alpha of -1.69%.
- 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
2.00%
10.68%
-8.69%
Annualized Return
22.46%
12.94%
9.53%
Risk Metrics
Metric
ROKU
SPY
Ratio/Diff.
Annualized Volatility
60.43%
20.03%
3.02x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
0.32
0.50
-0.17
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.81
Higher than market
High Volatility
Annualized Alpha
-1.69%
Negative Alpha
Poor
Information Ratio
0.19
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
35.82%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
169.56%
Outperforms in up markets
Down Capture Ratio
169.95%
Falls more than market