Stock vs. Benchmark Comparison
Data updated: 2025-06-23 18:45 UTC
Roku (ROKU)
标普500 (SPY)
📈 Cumulative Return
54.18%
vs Benchmark 9.73%
📊 Volatility (Ann.)
62.7%
Benchmark 20.5%
⚠️ 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
75.72%
Beta
1.90
Ann. Alpha
51.27%
Information Ratio
1.44
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 51.49%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 51.27%.
- A high Beta value (1.90) 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 (1.44) 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
54.18%
9.73%
44.45%
Annualized Return
87.78%
12.06%
75.72%
Risk Metrics
Metric
ROKU
SPY
Ratio/Diff.
Annualized Volatility
62.67%
20.49%
3.06x
Max Drawdown
44.38%
18.76%
2.37x
Sharpe Ratio
1.35
0.44
0.91
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.90
Higher than market
High Volatility
Annualized Alpha
51.27%
Positive Alpha
Good
Information Ratio
1.44
High IR
Excellent
Correlation Coeff.
0.62
Moderately Correlated
Clear Link
R-Squared
38.66%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
202.70%
Outperforms in up markets
Down Capture Ratio
160.90%
Falls more than market