Stock vs. Benchmark Comparison
Data updated: 2025-09-26 04:34 UTC
Block (SQ)
标普500 (SPY)
📈 Cumulative Return
-15.28%
vs Benchmark -1.16%
📊 Volatility (Ann.)
54.9%
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
-16.97%
Beta
2.44
Ann. Alpha
-15.40%
Information Ratio
-0.36
Key Insights
- During the analysis period, the stock underperformed the benchmark index, with a total excess loss of 8.77%.
- The stock showed negative stock selection ability, with an annualized Alpha of -15.40%.
- A high Beta value (2.44) 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
-15.28%
-1.16%
-14.12%
Annualized Return
-18.48%
-1.51%
-16.97%
Risk Metrics
Metric
SQ
SPY
Ratio/Diff.
Annualized Volatility
54.86%
14.04%
3.91x
Max Drawdown
45.37%
10.04%
4.52x
Sharpe Ratio
-0.39
-0.32
-0.07
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
2.44
Higher than market
High Volatility
Annualized Alpha
-15.40%
Negative Alpha
Poor
Information Ratio
-0.36
Moderate IR
Fair
Correlation Coeff.
0.62
Moderately Correlated
Clear Link
R-Squared
38.88%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
222.14%
Outperforms in up markets
Down Capture Ratio
242.47%
Falls more than market