Stock vs. Benchmark Comparison
Data updated: 2025-08-08 00:16 UTC
DocuSign (DOCU)
标普500 (SPY)
📈 Cumulative Return
42.74%
vs Benchmark 19.31%
📊 Volatility (Ann.)
53.0%
Benchmark 20.2%
⚠️ 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
41.91%
Beta
1.25
Ann. Alpha
27.92%
Information Ratio
0.89
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 29.49%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 27.92%.
- 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 (0.89) 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
42.74%
19.31%
23.43%
Annualized Return
63.72%
21.81%
41.91%
Risk Metrics
Metric
DOCU
SPY
Ratio/Diff.
Annualized Volatility
53.04%
20.17%
2.63x
Max Drawdown
34.25%
18.75%
1.83x
Sharpe Ratio
1.14
0.93
0.21
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
1.25
Higher than market
High Volatility
Annualized Alpha
27.92%
Positive Alpha
Good
Information Ratio
0.89
High IR
Excellent
Correlation Coeff.
0.48
Low Correlation
Weak Link
R-Squared
22.66%
Low Explanatory Power
Idiosyncratic Risk
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
154.02%
Outperforms in up markets
Down Capture Ratio
132.60%
Falls more than market