DocuSign (DOCU)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of % in the last 5 years of DocuSign, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (60.7%)
• Compared with SPY (29.5%) in the period of the last 3 years, the total return of -18.8% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of % of DocuSign is lower, thus worse.
• Compared with SPY (9%) in the period of the last 3 years, the annual performance (CAGR) of -6.7% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of DocuSign is %, which is lower, thus better compared to the benchmark SPY (20.8%) in the same period.
• During the last 3 years, the volatility is 65.6%, which is greater, thus worse than the value of 24% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of DocuSign is %, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
• Looking at downside volatility in of 48.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of DocuSign is , which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.14, which is lower, thus worse than the value of 0.27 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of in the last 5 years of DocuSign, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
• Compared with SPY (0.37) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.19 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of in the last 5 years of DocuSign, we see it is relatively lower, thus better in comparison to the benchmark SPY (7.52 )
• Looking at Downside risk index in of 38 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.81 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum drop from peak to valley of days in the last 5 years of DocuSign, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -83.1 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of DocuSign is days, which is smaller, thus better compared to the benchmark SPY (182 days) in the same period.
• During the last 3 years, the maximum days below previous high is 265 days, which is larger, thus worse than the value of 182 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average time in days below previous high water mark over 5 years of DocuSign is days, which is lower, thus better compared to the benchmark SPY (45 days) in the same period.
• During the last 3 years, the average days under water is 84 days, which is larger, thus worse than the value of 43 days from the benchmark.