Benchmark Analysis

Performance benchmark alpha
Bottom Line

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Summary will populate from computed benchmark data.

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Avg Total Return
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Alpha vs SPY
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Sharpe Ratio
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Max Drawdown
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Universe Size
Tickers
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Timeframe
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Cumulative Performance (Indexed to 100)
Ticker Total Return Alpha Beta Sharpe Max Drawdown R²

Overview

This analysis benchmarks a 58-stock equity universe against SPY (the S&P 500 ETF) over 252 trading days. Each stock's cumulative performance, risk-adjusted returns, and co-movement with the benchmark are computed and visualized.

The goal is to identify which names generated genuine alpha (excess return not explained by market exposure) versus those that simply rode the beta wave. The scatter plot regression decomposes each stock's return into systematic and idiosyncratic components.

Key Metrics

  • Total Return — cumulative price return over the analysis window
  • Alpha — intercept of the regression of stock returns on SPY returns (annualized)
  • Beta — slope of the same regression, measuring market sensitivity
  • Sharpe Ratio — mean excess return divided by return volatility
  • Max Drawdown — largest peak-to-trough decline

Strengths

  • Simple, transparent attribution
  • Multi-timeframe resampling reveals regime effects
  • Scatter regression provides actionable alpha/beta decomposition
  • Sortable table enables quick screening

Limitations

  • Single-factor model (SPY only)
  • Does not account for sector or style factors
  • Backward-looking, no predictive claim
  • Survivorship bias if universe is ex-post selected

How to Read This Analysis

  1. Select tickers in the dropdown. Use the multi-select to choose individual stocks or click "Top 10" to auto-select the best performers. SPY is always shown as a gray dashed baseline.
  2. Choose a timeframe. Daily shows raw granularity; Weekly and Monthly smooth noise and reveal trend. Quarterly and Yearly are useful for regime-level comparison.
  3. Read the cumulative chart. All lines are indexed to 100 at the start. A line above SPY outperformed; below underperformed. The spread between a stock and SPY at any point is the cumulative relative return.
  4. Switch to Scatter view. Each dot is one period's return pair (SPY vs stock). The regression line slope is beta; its intercept is alpha. Points far from the line have high idiosyncratic risk.
  5. Sort the summary table. Click any column header to rank the universe. A stock with positive alpha, beta near 1.0, and high Sharpe is the benchmark-beater archetype.

Key Equations

Cumulative Return (Indexed)

$$P_t = 100 \times \prod_{i=1}^{t}(1 + r_i)$$

where $r_i$ is the period return at time $i$. Starting value is 100.

Single-Factor Regression (CAPM)

$$r_{i,t} - r_f = \alpha_i + \beta_i (r_{m,t} - r_f) + \varepsilon_{i,t}$$

where $r_{i,t}$ is the stock return, $r_{m,t}$ is the SPY return, $\alpha_i$ is Jensen's alpha, and $\beta_i$ is market beta.

Coefficient of Determination

$$R^2 = 1 - \frac{\sum_t \varepsilon_{i,t}^2}{\sum_t (r_{i,t} - \bar{r}_i)^2}$$

Measures the fraction of variance in stock returns explained by the benchmark.

Sharpe Ratio

$$S = \frac{\bar{r} - r_f}{\sigma_r}$$

Annualized by multiplying by $\sqrt{252 / n}$ where $n$ is the number of periods per year at the chosen timeframe.

Maximum Drawdown

$$\text{MDD} = \min_t \left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)$$

The largest percentage decline from any peak to any subsequent trough.