Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:11 UTC
Etsy (ETSY)
标普500 (SPY)
📈 Cumulative Return
14.15%
vs Benchmark 24.38%
📊 Volatility (Ann.)
43.8%
Benchmark 19.9%
⚠️ 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
-1.28%
Beta
0.81
Ann. Alpha
3.56%
Information Ratio
-0.03
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 1.01%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 3.56%.
- A low Beta value (0.81) 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
14.15%
24.38%
-10.23%
Annualized Return
25.66%
26.95%
-1.28%
Risk Metrics
Metric
ETSY
SPY
Ratio/Diff.
Annualized Volatility
43.78%
19.93%
2.20x
Max Drawdown
33.78%
18.75%
1.80x
Sharpe Ratio
0.52
1.20
-0.68
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.81
Lower than market
Low Volatility
Annualized Alpha
3.56%
Positive Alpha
Good
Information Ratio
-0.03
Moderate IR
Fair
Correlation Coeff.
0.37
Low Correlation
Weak Link
R-Squared
13.62%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
86.47%
Captures part of up moves
Down Capture Ratio
83.87%
Falls less than market