Stock vs. Benchmark Comparison
Data updated: 2025-08-13 06:52 UTC
Block (SQ)
标普500 (SPY)
📈 Cumulative Return
-7.92%
vs Benchmark 6.28%
📊 Volatility (Ann.)
51.4%
Benchmark 14.0%
⚠️ 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
-12.64%
Beta
2.33
Ann. Alpha
-23.70%
Information Ratio
-0.29
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 7.03%.
- The stock showed negative stock selection ability, with an annualized Alpha of -23.70%.
- A high Beta value (2.33) 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
SQ
SPY
Excess/Diff.
Total Return
-7.92%
6.28%
-14.19%
Annualized Return
-0.63%
12.01%
-12.64%
Risk Metrics
Metric
SQ
SPY
Ratio/Diff.
Annualized Volatility
51.40%
13.99%
3.67x
Max Drawdown
45.37%
10.03%
4.52x
Sharpe Ratio
-0.07
0.64
-0.71
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.33
Higher than market
High Volatility
Annualized Alpha
-23.70%
Negative Alpha
Poor
Information Ratio
-0.29
Moderate IR
Fair
Correlation Coeff.
0.63
Moderately Correlated
Clear Link
R-Squared
40.16%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
216.14%
Outperforms in up markets
Down Capture Ratio
248.73%
Falls more than market