Stock vs. Benchmark Comparison
Data updated: 2025-06-21 22:30 UTC
Block (SQ)
标普500 (SPY)
📈 Cumulative Return
-7.56%
vs Benchmark 3.60%
📊 Volatility (Ann.)
49.7%
Benchmark 14.5%
⚠️ 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
-4.30%
Beta
2.10
Ann. Alpha
-10.10%
Information Ratio
-0.10
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 3.02%.
- The stock showed negative stock selection ability, with an annualized Alpha of -10.10%.
- A high Beta value (2.10) 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
-7.56%
3.60%
-11.16%
Annualized Return
1.78%
6.08%
-4.30%
Risk Metrics
Metric
SQ
SPY
Ratio/Diff.
Annualized Volatility
49.69%
14.51%
3.42x
Max Drawdown
45.37%
10.03%
4.52x
Sharpe Ratio
-0.02
0.21
-0.24
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.10
Higher than market
High Volatility
Annualized Alpha
-10.10%
Negative Alpha
Poor
Information Ratio
-0.10
Moderate IR
Fair
Correlation Coeff.
0.61
Moderately Correlated
Clear Link
R-Squared
37.73%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
197.24%
Outperforms in up markets
Down Capture Ratio
209.17%
Falls more than market