Stock vs. Benchmark Comparison
Data updated: 2025-08-06 13:40 UTC
PayPal (PYPL)
标普500 (SPY)
📈 Cumulative Return
9.44%
vs Benchmark 19.31%
📊 Volatility (Ann.)
37.3%
Benchmark 20.2%
⚠️ 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
-4.34%
Beta
1.19
Ann. Alpha
-7.07%
Information Ratio
-0.15
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 3.62%.
- The stock showed negative stock selection ability, with an annualized Alpha of -7.07%.
- 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.
- 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
9.44%
19.31%
-9.87%
Annualized Return
17.46%
21.81%
-4.34%
Risk Metrics
Metric
PYPL
SPY
Ratio/Diff.
Annualized Volatility
37.34%
20.17%
1.85x
Max Drawdown
37.47%
18.75%
2.00x
Sharpe Ratio
0.39
0.93
-0.55
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.19
Higher than market
High Volatility
Annualized Alpha
-7.07%
Negative Alpha
Poor
Information Ratio
-0.15
Moderate IR
Fair
Correlation Coeff.
0.64
Moderately Correlated
Clear Link
R-Squared
41.12%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
123.62%
Outperforms in up markets
Down Capture Ratio
133.00%
Falls more than market