Stock vs. Benchmark Comparison
Data updated: 2025-08-08 18:29 UTC
DocuSign (DOCU)
标普500 (SPY)
📈 Cumulative Return
39.34%
vs Benchmark 22.59%
📊 Volatility (Ann.)
53.3%
Benchmark 19.9%
⚠️ 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
34.90%
Beta
1.25
Ann. Alpha
20.88%
Information Ratio
0.74
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 24.54%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 20.88%.
- A high Beta value (1.25) 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 high Information Ratio (0.74) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
DOCU
SPY
Excess/Diff.
Total Return
39.34%
22.59%
16.75%
Annualized Return
60.01%
25.12%
34.90%
Risk Metrics
Metric
DOCU
SPY
Ratio/Diff.
Annualized Volatility
53.28%
19.93%
2.67x
Max Drawdown
34.25%
18.75%
1.83x
Sharpe Ratio
1.07
1.11
-0.04
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.25
Higher than market
High Volatility
Annualized Alpha
20.88%
Positive Alpha
Good
Information Ratio
0.74
High IR
Excellent
Correlation Coeff.
0.47
Low Correlation
Weak Link
R-Squared
21.97%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
154.29%
Outperforms in up markets
Down Capture Ratio
139.74%
Falls more than market