Stock vs. Benchmark Comparison
Data updated: 2025-05-06 13:22 UTC
Block (SQ)
标普500 (SPY)
📈 Cumulative Return
-18.61%
vs Benchmark 12.52%
📊 Volatility (Ann.)
47.6%
Benchmark 13.8%
⚠️ 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
-27.61%
Beta
2.04
Ann. Alpha
-34.62%
Information Ratio
-0.67
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 23.33%.
- The stock showed negative stock selection ability, with an annualized Alpha of -34.62%.
- A high Beta value (2.04) 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 (-0.67) indicates poor risk-adjusted performance compared to the benchmark.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
SQ
SPY
Excess/Diff.
Total Return
-18.61%
12.52%
-31.13%
Annualized Return
-11.75%
15.85%
-27.61%
Risk Metrics
Metric
SQ
SPY
Ratio/Diff.
Annualized Volatility
47.64%
13.82%
3.45x
Max Drawdown
45.37%
10.03%
4.52x
Sharpe Ratio
-0.31
0.93
-1.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.04
Higher than market
High Volatility
Annualized Alpha
-34.62%
Negative Alpha
Poor
Information Ratio
-0.67
Low IR
Poor
Correlation Coeff.
0.59
Moderately Correlated
Clear Link
R-Squared
34.88%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
162.86%
Outperforms in up markets
Down Capture Ratio
212.35%
Falls more than market