Stock vs. Benchmark Comparison
Data updated: 2025-06-21 21:11 UTC
Etsy (ETSY)
标普500 (SPY)
📈 Cumulative Return
-2.62%
vs Benchmark 9.73%
📊 Volatility (Ann.)
43.2%
Benchmark 20.5%
⚠️ 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
-5.16%
Beta
0.88
Ann. Alpha
-3.34%
Information Ratio
-0.13
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 4.70%.
- The stock showed negative stock selection ability, with an annualized Alpha of -3.34%.
- 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.
- 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
-2.62%
9.73%
-12.35%
Annualized Return
6.90%
12.06%
-5.16%
Risk Metrics
Metric
ETSY
SPY
Ratio/Diff.
Annualized Volatility
43.18%
20.49%
2.11x
Max Drawdown
37.68%
18.76%
2.01x
Sharpe Ratio
0.09
0.44
-0.35
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.88
Similar to market
Medium Volatility
Annualized Alpha
-3.34%
Negative Alpha
Poor
Information Ratio
-0.13
Moderate IR
Fair
Correlation Coeff.
0.42
Low Correlation
Weak Link
R-Squared
17.60%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
87.81%
Captures part of up moves
Down Capture Ratio
91.29%
Falls less than market