Stock vs. Benchmark Comparison
Data updated: 2025-09-24 01:13 UTC
DocuSign (DOCU)
标普500 (SPY)
📈 Cumulative Return
46.54%
vs Benchmark 18.57%
📊 Volatility (Ann.)
53.7%
Benchmark 19.4%
⚠️ 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
47.77%
Beta
1.32
Ann. Alpha
31.26%
Information Ratio
1.00
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 33.22%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 31.26%.
- A high Beta value (1.32) 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 (1.00) 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
46.54%
18.57%
27.97%
Annualized Return
68.65%
20.88%
47.77%
Risk Metrics
Metric
DOCU
SPY
Ratio/Diff.
Annualized Volatility
53.68%
19.43%
2.76x
Max Drawdown
37.25%
18.76%
1.99x
Sharpe Ratio
1.22
0.92
0.30
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.32
Higher than market
High Volatility
Annualized Alpha
31.26%
Positive Alpha
Good
Information Ratio
1.00
High IR
Excellent
Correlation Coeff.
0.48
Low Correlation
Weak Link
R-Squared
22.95%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
167.13%
Outperforms in up markets
Down Capture Ratio
142.19%
Falls more than market