Stock vs. Benchmark Comparison
Data updated: 2025-05-10 23:16 UTC
DocuSign (DOCU)
标普500 (SPY)
📈 Cumulative Return
44.83%
vs Benchmark 10.51%
📊 Volatility (Ann.)
49.5%
Benchmark 20.0%
⚠️ 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
50.00%
Beta
1.26
Ann. Alpha
39.91%
Information Ratio
1.16
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 36.60%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 39.91%.
- A high Beta value (1.26) 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 (1.16) 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
44.83%
10.51%
34.32%
Annualized Return
62.76%
12.76%
50.00%
Risk Metrics
Metric
DOCU
SPY
Ratio/Diff.
Annualized Volatility
49.53%
20.02%
2.47x
Max Drawdown
34.25%
18.76%
1.83x
Sharpe Ratio
1.21
0.49
0.72
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.26
Higher than market
High Volatility
Annualized Alpha
39.91%
Positive Alpha
Good
Information Ratio
1.16
High IR
Excellent
Correlation Coeff.
0.51
Moderately Correlated
Clear Link
R-Squared
26.02%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
159.64%
Outperforms in up markets
Down Capture Ratio
127.37%
Falls more than market