Stock vs. Benchmark Comparison
Data updated: 2025-06-21 01:41 UTC
PayPal (PYPL)
标普500 (SPY)
📈 Cumulative Return
11.67%
vs Benchmark 11.68%
📊 Volatility (Ann.)
37.2%
Benchmark 20.4%
⚠️ 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
5.69%
Beta
1.16
Ann. Alpha
2.80%
Information Ratio
0.20
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 4.85%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 2.80%.
- A high Beta value (1.16) 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
11.67%
11.68%
-0.01%
Annualized Return
19.74%
14.05%
5.69%
Risk Metrics
Metric
PYPL
SPY
Ratio/Diff.
Annualized Volatility
37.18%
20.43%
1.82x
Max Drawdown
37.47%
18.76%
2.00x
Sharpe Ratio
0.45
0.54
-0.09
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.16
Higher than market
High Volatility
Annualized Alpha
2.80%
Positive Alpha
Good
Information Ratio
0.20
Moderate IR
Fair
Correlation Coeff.
0.64
Moderately Correlated
Clear Link
R-Squared
40.64%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
107.74%
Outperforms in up markets
Down Capture Ratio
103.65%
Falls more than market