Benchmark Comparison
Know your real alpha
Compare your strategy against S&P 500, NASDAQ, and 15+ market benchmarks. Instantly see whether you're generating genuine alpha — or just riding the market.
Scorecard
Alpha, beta, and 10+ comparison metrics
“Am I actually beating the market — or just correlated to it?”
- Alpha measurement — excess returns above the benchmark
- Beta exposure — how much market risk you're taking
- Correlation and R-squared analysis
- Information ratio — return per unit of active risk
- Tracking error and outperformance percentage
Capture Analysis
Up-capture and down-capture ratios
“Do I capture gains but avoid losses?”
- Up-capture ratio — how much of the benchmark's gains you capture
- Down-capture ratio — how much of the benchmark's losses you absorb
- Capture asymmetry score — the edge that matters
- Visual comparison with clear color coding
Rolling Windows
Rolling alpha, beta, and correlation
“Is my edge consistent or fading?”
- 60-day and 252-day rolling windows
- Rolling alpha trend detection
- Rolling beta stability analysis
- Rolling correlation to spot regime changes
Drawdown Comparison
Side-by-side drawdown and calendar returns
“When does my strategy protect me — and when does it fail?”
- Overlaid drawdown curves — strategy vs benchmark
- Monthly and yearly calendar return comparison
- Risk-adjusted metrics table
- Statistical significance testing with p-value and confidence intervals
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