Stock vs. Benchmark Comparison
Data updated: 2025-06-23 07:25 UTC
DocuSign (DOCU)
标普500 (SPY)
📈 Cumulative Return
47.40%
vs Benchmark 9.73%
📊 Volatility (Ann.)
53.2%
Benchmark 20.5%
⚠️ 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
57.20%
Beta
1.25
Ann. Alpha
46.90%
Information Ratio
1.22
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 41.13%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 46.90%.
- 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 (1.22) 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
47.40%
9.73%
37.67%
Annualized Return
69.26%
12.06%
57.20%
Risk Metrics
Metric
DOCU
SPY
Ratio/Diff.
Annualized Volatility
53.25%
20.49%
2.60x
Max Drawdown
34.25%
18.76%
1.83x
Sharpe Ratio
1.24
0.44
0.80
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.25
Higher than market
High Volatility
Annualized Alpha
46.90%
Positive Alpha
Good
Information Ratio
1.22
High IR
Excellent
Correlation Coeff.
0.48
Low Correlation
Weak Link
R-Squared
22.98%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
153.15%
Outperforms in up markets
Down Capture Ratio
116.33%
Falls more than market