Stock vs. Benchmark Comparison
Data updated: 2025-09-26 06:11 UTC
Shopify (SHOP)
标普500 (SPY)
📈 Cumulative Return
78.58%
vs Benchmark 16.58%
📊 Volatility (Ann.)
61.0%
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
95.30%
Beta
2.13
Ann. Alpha
48.40%
Information Ratio
1.91
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 58.76%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 48.40%.
- A high Beta value (2.13) 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 (1.91) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
SHOP
SPY
Excess/Diff.
Total Return
78.58%
16.58%
61.99%
Annualized Return
114.15%
18.85%
95.30%
Risk Metrics
Metric
SHOP
SPY
Ratio/Diff.
Annualized Volatility
61.02%
19.45%
3.14x
Max Drawdown
40.54%
18.76%
2.16x
Sharpe Ratio
1.82
0.81
1.01
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.13
Higher than market
High Volatility
Annualized Alpha
48.40%
Positive Alpha
Good
Information Ratio
1.91
High IR
Excellent
Correlation Coeff.
0.68
Moderately Correlated
Clear Link
R-Squared
46.01%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
252.42%
Outperforms in up markets
Down Capture Ratio
213.48%
Falls more than market