SiriusPoint’s Long‑Run Slide Meets a Bull‑Market Surge

Historic drawdowns and persistent underperformance clash with today’s high‑volatility rally

SPNT SiriusPoint Ltd.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

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02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

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03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

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04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

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05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

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06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

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Returns Overview

SiriusPoint Ltd. (SPNT) — Return Performance

SiriusPoint Ltd. (SPNT) delivered a mixed return profile over the past 5 years, with pronounced strength in longer horizons. Over the trailing twelve months the stock rose 6.52% while underperforming its sector ETF by 12.47 percentage points, yet the two‑year and five‑year periods saw total returns of 78.03% and 127.2%, respectively, outpacing sector alpha by 42.81% and 73.06%. Short‑term windows (1M, 3M, 6M) were flat to negative, generating modest or adverse sector alpha, indicating recent price pressure despite robust multi‑year appreciation.

Period Returns vs S&P 500 & XLF

Monthly Returns Heatmap

SPNT

The stock generated positive absolute returns across all horizons but only produced sector‑positive alpha in the 1‑month (0.34%) and six‑month (3.73%) windows; all other periods reflected negative alpha, highlighting short‑term underperformance relative to peers. However, the two‑year (+78.03% vs sector) and five‑year (+127.2% vs sector) returns demonstrate strong long‑run outperformance, suggesting that recent weakness may be temporary and that the business retains significant upside potential over extended horizons.

Returns Overview

SiriusPoint Ltd. (SPNT) — Return Charts

Volatility Analysis

SiriusPoint Ltd. (SPNT) — Volatility Profile

SiriusPoint Ltd. (SPNT) exhibits markedly higher price variability than the broader market, with an annualized volatility of 32.38% compared with the S&P 500’s 17.78%, indicating roughly 1.8 times the dispersion of returns. The stock’s downside risk is pronounced: a downside deviation of 23.37% and a historical max drawdown of -74.23% over a five‑year window reflect deep, prolonged equity erosion during market stress. Recent short‑term volatility measures—25.99% for the trailing 60‑day period and 28.34% for the trailing 252‑day period—remain above the long‑term average (32.38%), suggesting that price swings have modestly eased but still exceed typical market levels.

Volatility Metrics

SPNT

The company’s volatility profile is substantially more aggressive than the S&P 500 benchmark, delivering a risk premium that may appeal to high‑conviction investors seeking amplified moves. Downside metrics underscore heightened vulnerability: the downside deviation of 23.37% signals that negative returns are both frequent and severe, while the -74.23% max drawdown—spanning nearly five years from November 2017 to August 2022—highlights a protracted recovery period that only concluded in late‑2024. Although the current 60‑day volatility (25.99%) sits below the long‑term 32.38% average, it remains well above market norms, indicating that short‑run risk has softened but not normalized.

SPNT’s annualized volatility is 1.8× higher than the S&P 500.
Downside deviation of 23.37% signals pronounced asymmetric risk.
Historical max drawdown of -74.23% lasted nearly five years, indicating deep and extended downside exposure.
Trailing 60‑day and 252‑day volatilities are lower than the long‑term average but still exceed market benchmarks.

Positive Characteristics
Recent volatility compression (60‑day vol at 25.99% vs 32.38% long‑term) suggests a modest reduction in price turbulence.
The recovery from the deepest drawdown completed by end‑2024, demonstrating that the equity can rebound after severe stress.

Volatility Analysis

SiriusPoint Ltd. (SPNT) — Volatility & Drawdown Charts

Beta & Correlation

SiriusPoint Ltd. (SPNT) — Beta Profile

SiriusPoint Ltd. (SPNT) exhibits a trailing beta of 0.92 against the S&P 500, placing it squarely in the market‑like range of 0.8–1.2. This suggests that the stock moves roughly in line with overall equity markets, offering neither pronounced defensive cushioning nor aggressive leverage to market swings. The upside beta of 0.982 versus a downside beta of 0.932 signals modest asymmetry: SPNT tends to capture slightly more of the upside when the market rallies than it loses on the downside, a nuance that can be valuable for risk‑adjusted portfolio construction. The R-squared of 25.5% indicates that only about one quarter of SPNT’s price variance is explained by broad market movements, leaving roughly three quarters driven by idiosyncratic factors. Consequently, the stock provides meaningful diversification benefits, as its performance is not tightly bound to systematic risk. When decomposing risk sources, the sector beta of 0.866 against XLF shows that a larger share of SPNT’s exposure stems from general market dynamics rather than financial‑sector specific drivers, underscoring the importance of monitoring overall equity trends alongside sector developments.

Beta & Correlation Metrics

SPNT

The trailing beta of 0.92 classifies SPNT as a market‑like security, implying that its price reacts proportionally to S&P 500 movements without the heightened volatility of aggressive stocks (>1.2). The asymmetric beta profile—upside beta at 0.982 and downside beta at 0.932—reveals a slight tilt toward capturing gains during bullish periods while limiting losses in downturns, an attribute that can enhance risk‑adjusted returns for investors seeking modest upside participation. With an R-squared of 25.5% and a correlation of 0.505 to the market, roughly three‑quarters of SPNT’s price action is idiosyncratic, offering diversification potential; however, the sector beta of 0.866 and sector correlation of 0.582 indicate that financial‑services dynamics still play a secondary role in its risk profile.

Trailing beta of 0.92 places SPNT in the market‑like range, indicating proportional response to overall equity moves.
Upside beta (0.982) exceeds downside beta (0.932), suggesting a modest bias toward capturing gains while dampening losses.
R-squared of 25.5% means only a quarter of price variance is driven by systematic market factors, providing strong diversification benefits.
Systematic risk accounts for 25.5% of total variance versus 74.5% idiosyncratic, highlighting the dominance of company‑specific drivers.
Sector beta (0.866) is lower than market beta, indicating that sector exposure contributes less to overall risk than broader market movements.

Positive Characteristics
Asymmetric upside beta exceeds downside beta, offering a slight edge in rising markets.
Low R-squared and high idiosyncratic component enhance diversification within a portfolio.
Sector beta below market beta reduces sensitivity to financial‑services sector shocks.

Beta & Correlation

SiriusPoint Ltd. (SPNT) — Rolling Beta

Positive Notes

Asymmetric upside beta exceeds downside beta, offering a slight edge in rising markets.

Low R-squared and high idiosyncratic component enhance diversification within a portfolio.

Sector beta below market beta reduces sensitivity to financial‑services sector shocks.

Risk-Adjusted Returns

SiriusPoint Ltd. (SPNT) — Risk-Adjusted Performance

SiriusPoint Ltd. (SPNT) delivers modest risk-adjusted returns, reflected in a Sharpe ratio of 0.178 that falls well below the benchmark threshold of 1.0, indicating limited excess return over the risk‑free rate after accounting for total volatility. The Sortino ratio of 0.247 exceeds the Sharpe figure, suggesting that the stock’s downside volatility is lower than its overall volatility and that returns are generated with a relatively milder loss profile. However, other metrics such as the Calmar ratio (0.127) and Information ratio (-0.122) highlight concerns around drawdown severity and inconsistent alpha generation, while the Treynor ratio of 6.264 points to a high return per unit of systematic risk, albeit in the context of overall weak risk‑adjusted performance.

Risk-free rate: 3.63% (Fed Funds Rate)

Risk-Adjusted Metrics

SPNT

The Sharpe ratio of 0.178 signals that SPNT’s total risk‑adjusted excess return is modest, offering investors limited compensation for bearing market volatility. In contrast, the higher Sortino ratio (0.247) indicates that the stock’s downside risk is less pronounced than its overall risk, which may appeal to investors focused on capital preservation during market declines. The Calmar ratio of 0.127 reveals a relatively steep worst‑case drawdown relative to annualized returns, implying that periods of significant loss could erode gains. A negative Information ratio (-0.122) suggests the stock has underperformed its benchmark on an active‑management basis, failing to generate consistent alpha. Nonetheless, the Treynor ratio of 6.264 demonstrates a strong return per unit of beta exposure, meaning SPNT is efficient at converting systematic risk into returns despite the broader risk‑adjusted shortcomings.

Sharpe ratio well below 1.0 indicates limited excess return for total volatility.
Sortino exceeds Sharpe, highlighting a comparatively favorable downside risk profile.
Calmar ratio of 0.127 points to severe drawdowns relative to average returns.
Negative Information ratio reflects inconsistent alpha generation versus the benchmark.
High Treynor ratio suggests efficient conversion of systematic risk into return.

Positive Characteristics
Downside volatility is lower than overall volatility, as shown by a higher Sortino ratio.
Strong systematic risk premium captured, evidenced by a Treynor ratio above 6.

Risk-Adjusted Returns

SiriusPoint Ltd. (SPNT) — Rolling Sharpe & Sortino

Positive Notes

Downside volatility is lower than overall volatility, as shown by a higher Sortino ratio.

Strong systematic risk premium captured, evidenced by a Treynor ratio above 6.

Market Regime Analysis

SiriusPoint Ltd. (SPNT) — Regime Behavior

SiriusPoint Ltd. exhibits markedly higher returns in volatile bullish markets, delivering an average monthly gain of 3.47% during Bull-HighVol periods—substantially above its 1.11% return in calmer uptrends. Conversely, the stock underperforms in bearish environments, posting a -3.40% average loss when markets decline with low volatility and a -2.66% loss amid volatile downturns, indicating sensitivity to downside risk. The upside capture of 82.6% coupled with a downside capture of 90.5% yields a capture ratio of 0.91, reflecting that the stock trails the broader market on both the upside and the downside, though its losses are slightly less severe than gains relative to the benchmark.

Current Market Regime: Bull-HighVol

Bull-LowVol = calm uptrend • Bull-HighVol = volatile uptrend • Bear-LowVol = orderly decline • Bear-HighVol = crisis

Regime Returns & Capture Ratios

SPNT

In Bull-HighVol regimes, SiriusPoint thrives, generating robust monthly returns that suggest the business benefits from heightened market activity and risk appetite. During Bear-LowVol periods, the stock’s -3.40% average loss signals limited defensive qualities, as it fails to preserve capital when markets are orderly but declining. The modest downside capture of 90.5% in bearish regimes indicates some resilience, yet the overall capture ratio below 1.0 underscores that the stock does not outperform the market on either side of the cycle.

Market Regime Analysis

SiriusPoint Ltd. (SPNT) — Regime & Capture Charts

Regime Timeline

SiriusPoint’s strongest performance occurs in volatile uptrends (Bull-HighVol), with a 3.47% average monthly gain.
The stock underperforms in calm bullish markets, delivering only 1.11% average return in Bull-LowVol regimes.
Downside risk is pronounced, as evidenced by negative returns of -3.40% and -2.66% in Bear-LowVol and Bear-HighVol periods respectively.
An upside capture of 82.6% and downside capture of 90.5% produce a capture ratio of 0.91, indicating the stock lags the market on both fronts.
Current Bull-HighVol conditions favor SiriusPoint’s growth profile, but the defensive buffer remains limited.

Positive Characteristics
Higher returns during volatile bullish markets suggest the business can capitalize on risk‑on environments.
Downside capture below 100% indicates some capital preservation relative to the broader market in bear regimes.

Investment Highlights & Risk Summary

SiriusPoint Ltd. (SPNT) — Summary & Implications

SiriusPoint Ltd. delivered a modest 1‑year total return of 6.52%, yet its performance lagged the broader market by 12.47 percentage points, generating negative alpha against the S&P 500. The stock exhibits elevated risk characteristics: annualized volatility of 32.38% far exceeds the S&P 500’s 17.1%, and a historic max drawdown of -74.23% underscores susceptibility to severe capital losses. Risk‑adjusted metrics are weak, with a Sharpe ratio of 0.178 and a Sortino of 0.247, indicating limited excess return per unit of total or downside risk. However, the company’s beta of 0.92 suggests price movements are closely aligned with market swings, and its sector alpha of +5.97% reflects outperformance relative to peers in the Financial Services ETF (XLF). Investors should weigh the upside capture of 82.6% against a concerning downside capture of 90.5%, which signals that losses tend to outweigh gains during market stress.

Summary Dashboard

Investment Highlights

Sector outperformance: SiriusPoint generated +5.97% alpha versus the XLF financial services sector, indicating relative strength within its industry group.
Beta near unity (0.92) means the stock’s price moves in line with broader market trends, providing predictable exposure for portfolio beta targeting.
Upside capture of 82.6% suggests the company participates in a majority of market rallies, albeit modestly, offering some participation in bullish periods.

Risk-Return Rankings

SPNT HIGH

High volatility and deep historical drawdown combine with weak risk‑adjusted returns, resulting in an elevated risk profile.

Strength: Sector alpha of +5.97% versus XLF peers.

Concern: Max drawdown of -74.23% and Sharpe ratio of 0.178 indicate poor compensation for risk.

Key Takeaways

Negative absolute alpha (-12.47%) signals underperformance relative to the S&P 500 despite sector outperformance.
Volatility (32.38%) is nearly double that of the market, amplifying both upside potential and downside exposure.
Downside capture exceeds upside capture (90.5% vs 82.6%), highlighting asymmetric risk in bearish environments.
Low Sharpe (0.178) and Sortino (0.247) ratios suggest limited reward for the level of risk undertaken.

PORTFOLIO IMPLICATIONS

Given its high volatility and pronounced drawdown history, SiriusPoint is best suited for portfolios seeking sector‑specific exposure with a tolerance for significant downside risk, such as an aggressive allocation within financial services. The stock’s beta close to one makes it a reasonable candidate for beta‑neutral strategies, but investors should pair it with low‑beta or defensive assets to mitigate the asymmetric downside capture and improve overall portfolio risk‑adjusted performance.

SPNT

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Report written 2026-06-07 • Finexus

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