Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:48 UTC
Etsy (ETSY)
标普500 (SPY)
📈 Cumulative Return
20.96%
vs Benchmark 22.08%
📊 Volatility (Ann.)
44.4%
Benchmark 19.8%
⚠️ 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
8.97%
Beta
0.83
Ann. Alpha
11.36%
Information Ratio
0.22
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 6.93%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 11.36%.
- A low Beta value (0.83) indicates the stock's volatility is lower than the market average.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- An Information Ratio near zero suggests the stock's risk-adjusted performance is comparable to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
ETSY
SPY
Excess/Diff.
Total Return
20.96%
22.08%
-1.13%
Annualized Return
33.54%
24.57%
8.97%
Risk Metrics
Metric
ETSY
SPY
Ratio/Diff.
Annualized Volatility
44.40%
19.83%
2.24x
Max Drawdown
33.78%
18.75%
1.80x
Sharpe Ratio
0.69
1.09
-0.40
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.83
Lower than market
Low Volatility
Annualized Alpha
11.36%
Positive Alpha
Good
Information Ratio
0.22
Moderate IR
Fair
Correlation Coeff.
0.37
Low Correlation
Weak Link
R-Squared
13.64%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
92.19%
Captures part of up moves
Down Capture Ratio
82.01%
Falls less than market