Stock vs. Benchmark Comparison
Data updated: 2025-09-24 13:40 UTC
PayPal (PYPL)
标普500 (SPY)
📈 Cumulative Return
-12.31%
vs Benchmark 18.13%
📊 Volatility (Ann.)
36.3%
Benchmark 19.4%
⚠️ Alert: Stock volatility exceeds benchmark by over 15%. Monitor risk.
*
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
-26.73%
Beta
1.19
Ann. Alpha
-24.85%
Information Ratio
-0.94
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 25.01%.
- The stock showed negative stock selection ability, with an annualized Alpha of -24.85%.
- A high Beta value (1.19) indicates the stock is more sensitive to market changes and has higher volatility.
- The stock's volatility is significantly higher than the benchmark, indicating higher risk.
- A negative Information Ratio (-0.94) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
PYPL
SPY
Excess/Diff.
Total Return
-12.31%
18.13%
-30.44%
Annualized Return
-6.31%
20.43%
-26.73%
Risk Metrics
Metric
PYPL
SPY
Ratio/Diff.
Annualized Volatility
36.32%
19.44%
1.87x
Max Drawdown
37.47%
18.76%
2.00x
Sharpe Ratio
-0.26
0.90
-1.15
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.19
Higher than market
High Volatility
Annualized Alpha
-24.85%
Negative Alpha
Poor
Information Ratio
-0.94
Low IR
Poor
Correlation Coeff.
0.63
Moderately Correlated
Clear Link
R-Squared
40.23%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
111.33%
Outperforms in up markets
Down Capture Ratio
144.09%
Falls more than market