SQ vs SOFI: Stock Returns, Risk & Volatility (2026)

Q: Which is a better investment: SQ or SOFI?

Over the past year, SOFI looks like the better investment: it had higher total return (SOFI +46.9% vs SQ +10.3%) and a higher Sharpe ratio (SOFI 0.88 vs SQ 0.38). On risk, SQ was less volatile (SQ 53.9% vs SOFI 58.5%), SQ had a smaller max drawdown (SQ -39.5% vs SOFI -53.0%), and SOFI had less severe losses on the worst 5% of days (Expected Shortfall of SOFI -8.00% vs SQ -8.18%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: SQ or SOFI?

Over the past year, SOFI outperformed (+10.3% vs +46.9%) with a Sharpe ratio of 0.88.

Total Return

SQ +10.3%

SOFI WIN +46.9%

Sharpe Ratio

SQ 0.38

SOFI WIN 0.88

Annualized Volatility

SQ WIN 53.9%

SOFI 58.5%

Max Drawdown

SQ WIN -39.5%

SOFI -53.0%

Analysis period: 2025-04-03 to 2026-04-01

SQ Total Return

↑ +10.3%

SOFI Total Return

↑ +46.9%

Relative Performance of SQ vs SOFI (Normalized to 100)

SQ SOFI

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: SQ delivered a +10.3% total return, while SOFI returned +46.9% over the same period. SOFI outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SOFI had a higher Sharpe (0.88 vs 0.38), indicating better risk-adjusted performance.
Volatility (Annualized): SOFI was more volatile, with 58.5% annualized volatility, versus 53.9% for SQ.
Maximum Drawdown: SQ's maximum drawdown was -39.5%, while SOFI experienced a deeper drawdown of -53.0%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SQ's VaR was -5.42% and its Expected Shortfall (CVaR) was -8.18%; SOFI's were -6.28% and -8.00%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SQ -0.82 vs SOFI 0.05. Excess kurtosis: SQ 9.48 vs SOFI 2.28. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SQ 8/5, SOFI 7/4. Worst day: SQ -20.43% (2025-05-02) vs SOFI -11.86% (2025-11-13). Best day: SQ +16.82% (2026-02-27) vs SOFI +19.89% (2025-04-09).
Risk ratios: Sortino - SQ: 0.53 vs. SOFI: 1.32 , Calmar - SQ: 0.26 vs. SOFI: 0.89 , Sterling - SQ: 0.26 vs. SOFI: 2.08 , Treynor - SQ: 0.14 vs. SOFI: 0.25 , Ulcer Index - SQ: 16.20% vs. SOFI: 19.68%

Block vs SoFi Technologies Correlation

0.40 Average Correlation

Block and SoFi Technologies are moderately correlated over the past year. With a correlation of 0.40, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.08
Average (full period)	0.40
Minimum	-0.18
Maximum	0.70

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement.

Investment Comparison

If you invested $10,000 in each asset on April 3, 2025:

SQ $11,032.05 +10.3%

SOFI $14,689.85 +46.9%

Difference: $3,657.8 (SOFI ahead)

Block and SoFi Technologies: Risk Analysis

Block experienced its maximum drawdown of -39.5% from 2025-10-08 to 2026-02-12. It has not yet recovered to its previous peak.

SoFi Technologies experienced its maximum drawdown of -53% from 2025-11-12 to 2026-03-30. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Sharpe Ratio of SQ and SOFI

SQ Sharpe Ratio

↑ 0.38

SOFI Sharpe Ratio

↑ 0.88

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SOFI had a higher Sharpe (0.88 vs 0.38), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of SQ and SOFI

SQ Sortino Ratio

↑ 0.53

SOFI Sortino Ratio

↑ 1.32

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SOFI had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: SQ 38.4% vs SOFI 39.0%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of SQ and SOFI

SQ Calmar Ratio

↑ 0.26

SOFI Calmar Ratio

↑ 0.89

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SOFI posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of SQ and SOFI

SQ Sterling Ratio

↑ 0.26

SOFI Sterling Ratio

↑ 2.08

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SOFI posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of SQ and SOFI

SQ Treynor Ratio

↑ 0.14

SOFI Treynor Ratio

↑ 0.25

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. SOFI posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of SQ and SOFI

SQ Ulcer Index

16.20%

SOFI Ulcer Index

19.68%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SQ had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Block vs. SoFi Technologies

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Metric (1-Year)	SQ	SOFI
5% VaR (daily log return)	-5.42%	-6.28%
5% Expected Shortfall (CVaR)	-8.18% (worst 13 days)	-8.00% (worst 13 days)
Skew	-0.82	0.05
Excess kurtosis	9.48	2.28
2σ tail days (down / up)	8 / 5	7 / 4
Worst day	-20.43% (2025-05-02)	-11.86% (2025-11-13)
Best day	+16.82% (2026-02-27)	+19.89% (2025-04-09)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

When SOFI has a big down day, SQ also does

28.6%

2 / 7 days

When SQ has a big down day, SOFI also does

25.0%

2 / 8 days

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both SQ and SOFI had a big down day (2σ)

Date (interval)	SQ	SOFI
2025-04-04	-6.87%	-10.06%
2025-10-10	-7.64%	-7.94%

Days when SQ had a big down day

Date (interval)	SQ	SOFI
2025-04-04	-6.87%	-10.06%
2025-05-02	-20.43%	+1.52%
2025-10-10	-7.64%	-7.94%
2025-11-07	-7.73%	+3.87%
2025-12-02	-6.59%	+1.65%
2026-02-05	-7.05%	-6.22%
2026-02-12	-8.77%	-6.08%
2026-03-12	-7.32%	-4.48%

Days when SOFI had a big down day

Date (interval)	SQ	SOFI
2025-04-04	-6.87%	-10.06%
2025-04-10	-5.50%	-7.64%
2025-10-10	-7.64%	-7.94%
2025-11-06	-3.69%	-9.68%
2025-11-13	-5.28%	-11.86%
2026-01-06	+2.26%	-7.86%
2026-02-27	+16.82%	-7.02%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Block vs SoFi Technologies Volatility (SQ vs SOFI)

SQ Volatility

53.9%

±3.39% daily

SOFI Volatility

58.5%

±3.68% daily

Typical daily swing

±3.39%

SOFI

±3.68%

Block's annualized volatility of 53.9% means it typically moves ±3.39% on any given day.

SoFi Technologies's annualized volatility of 58.5% means it typically moves ±3.68% on any given day.

SOFI's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SQ's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Block vs SoFi Technologies Performance Over Time

Metric	SQ	SOFI
30 Days	-7.6%	-15%
90 Days	-8.5%	-40.3%
180 Days	-22.6%	-38.1%
1 Year	10.3%	46.9%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Full Comparison of Block vs. SoFi Technologies (1-Year)

Metric	SQ	SOFI
Total Return	+10.3%	+46.9%
Annualized Volatility	53.9%	58.5%
Sharpe Ratio	0.38	0.88
Sortino Ratio	0.53	1.32
Calmar Ratio	0.26	0.89
Sterling Ratio	0.26	2.08
Treynor Ratio	0.14	0.25
Ulcer Index	16.20%	19.68%
Max Drawdown	-39.5%	-53.0%
Avg Correlation to S&P 500	0.53	0.62
5% VaR (daily log return)	-5.42%	-6.28%
5% Expected Shortfall (CVaR)	-8.18%	-8.00%
Skew	-0.82	0.05
Excess kurtosis	9.48	2.28
2σ tail days (down / up)	8 / 5	7 / 4

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-03 → 2026-04-01 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): SQ: 252 days/year; SOFI: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

SQ: 4.18% over 2025-04-03 → 2026-04-01.

SOFI: 4.18% over 2025-04-03 → 2026-04-01.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

SQ: ≈ -14.5%/yr

SOFI: ≈ -17.1%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Block vs SoFi Technologies: Frequently Asked Questions

Which has higher volatility: SQ or SOFI?

SOFI showed higher volatility at 58.5% annualized, compared to 53.9% for SQ Over the past year. Higher volatility means larger price swings in both directions.

Does SQ provide diversification when held with SOFI?

SQ and SOFI are moderately correlated over the past year, with an average correlation of 0.40. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for SQ vs SOFI?

Over the past year, SQ's 5% VaR was -5.42% and its 5% Expected Shortfall was -8.18% (worst 13 days). SOFI's were -6.28% and -8.00% (worst 13 days).

Do SQ and SOFI crash together on bad days?

On shared dates (n=249), when SOFI has a 2σ down day, SQ also does 28.6% (2/7 days). In the other direction, when SQ has one, SOFI also does 25.0% (2/8 days).

Which has better risk-adjusted returns: SQ or SOFI?

SOFI showed better risk-adjusted performance with a Sharpe ratio of 0.88 versus SQ's 0.38 Over the past year.

Can SQ and SOFI be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. SOFI's higher volatility (58.5%) means even small allocations can materially impact overall portfolio risk.

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