Stock vs. Benchmark Comparison
Data updated: 2025-05-06 15:56 UTC
Etsy (ETSY)
标普500 (SPY)
📈 Cumulative Return
-23.90%
vs Benchmark 13.00%
📊 Volatility (Ann.)
41.8%
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
-32.34%
Beta
0.88
Ann. Alpha
-26.79%
Information Ratio
-0.85
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 32.78%.
- The stock showed negative stock selection ability, with an annualized Alpha of -26.79%.
- A Beta value (0.88) close to 1 indicates the stock's volatility is similar to the market.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.85) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ETSY
SPY
Excess/Diff.
Total Return
-23.90%
13.00%
-36.90%
Annualized Return
-17.02%
15.32%
-32.34%
Risk Metrics
Metric
ETSY
SPY
Ratio/Diff.
Annualized Volatility
41.79%
20.05%
2.08x
Max Drawdown
38.39%
18.76%
2.05x
Sharpe Ratio
-0.48
0.61
-1.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.88
Similar to market
Medium Volatility
Annualized Alpha
-26.79%
Negative Alpha
Poor
Information Ratio
-0.85
Low IR
Poor
Correlation Coeff.
0.42
Low Correlation
Weak Link
R-Squared
17.73%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
70.68%
Captures part of up moves
Down Capture Ratio
102.35%
Falls more than market