Stock vs. Benchmark Comparison
Data updated: 2025-05-06 11:23 UTC
PayPal (PYPL)
标普500 (SPY)
📈 Cumulative Return
2.33%
vs Benchmark 13.00%
📊 Volatility (Ann.)
37.5%
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
-5.51%
Beta
1.12
Ann. Alpha
-6.42%
Information Ratio
-0.18
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 4.88%.
- The stock showed negative stock selection ability, with an annualized Alpha of -6.42%.
- A Beta value (1.12) 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
PYPL
SPY
Excess/Diff.
Total Return
2.33%
13.00%
-10.67%
Annualized Return
9.81%
15.32%
-5.51%
Risk Metrics
Metric
PYPL
SPY
Ratio/Diff.
Annualized Volatility
37.49%
20.05%
1.87x
Max Drawdown
37.47%
18.76%
2.00x
Sharpe Ratio
0.18
0.61
-0.43
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.12
Similar to market
Medium Volatility
Annualized Alpha
-6.42%
Negative Alpha
Poor
Information Ratio
-0.18
Moderate IR
Fair
Correlation Coeff.
0.60
Moderately Correlated
Clear Link
R-Squared
36.00%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
90.62%
Captures part of up moves
Down Capture Ratio
94.54%
Falls less than market