Stock vs. Benchmark Comparison
Data updated: 2025-05-06 11:10 UTC
Shopify (SHOP)
标普500 (SPY)
📈 Cumulative Return
36.64%
vs Benchmark 13.00%
📊 Volatility (Ann.)
61.8%
Benchmark 20.0%
⚠️ 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
49.93%
Beta
1.97
Ann. Alpha
24.83%
Information Ratio
0.97
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 35.88%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 24.83%.
- A high Beta value (1.97) 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 (0.97) 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
36.64%
13.00%
23.64%
Annualized Return
65.24%
15.32%
49.93%
Risk Metrics
Metric
SHOP
SPY
Ratio/Diff.
Annualized Volatility
61.79%
20.05%
3.08x
Max Drawdown
40.54%
18.76%
2.16x
Sharpe Ratio
1.01
0.61
0.39
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.97
Higher than market
High Volatility
Annualized Alpha
24.83%
Positive Alpha
Good
Information Ratio
0.97
High IR
Excellent
Correlation Coeff.
0.64
Moderately Correlated
Clear Link
R-Squared
40.85%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
197.78%
Outperforms in up markets
Down Capture Ratio
173.44%
Falls more than market