Stock vs. Benchmark Comparison
Data updated: 2025-08-07 11:04 UTC
Shopify (SHOP)
标普500 (SPY)
📈 Cumulative Return
133.33%
vs Benchmark 19.31%
📊 Volatility (Ann.)
60.3%
Benchmark 20.2%
⚠️ 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
157.39%
Beta
2.05
Ann. Alpha
86.55%
Information Ratio
3.23
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 82.82%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 86.55%.
- A high Beta value (2.05) 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 (3.23) 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
133.33%
19.31%
114.02%
Annualized Return
179.20%
21.81%
157.39%
Risk Metrics
Metric
SHOP
SPY
Ratio/Diff.
Annualized Volatility
60.29%
20.17%
2.99x
Max Drawdown
40.54%
18.75%
2.16x
Sharpe Ratio
2.92
0.93
1.99
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.05
Higher than market
High Volatility
Annualized Alpha
86.55%
Positive Alpha
Good
Information Ratio
3.23
High IR
Excellent
Correlation Coeff.
0.69
Moderately Correlated
Clear Link
R-Squared
47.02%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
242.89%
Outperforms in up markets
Down Capture Ratio
180.77%
Falls more than market