Stock vs. Benchmark Comparison
Data updated: 2025-08-10 23:20 UTC
思科 (CSCO)
标普500 (SPY)
📈 Cumulative Return
63.46%
vs Benchmark 24.38%
📊 Volatility (Ann.)
22.8%
Benchmark 19.9%
*
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
41.10%
Beta
0.89
Ann. Alpha
36.07%
Information Ratio
2.80
Key Insights
- During the analysis period, the stock outperformed the benchmark index, with a total excess return of 27.98%.
- The stock demonstrated positive stock selection ability, with an annualized Alpha of 36.07%.
- A Beta value (0.89) close to 1 indicates the stock's volatility is similar to the market.
- The stock's risk level is similar to the benchmark index.
- A high Information Ratio (2.80) suggests the stock outperformed the benchmark on a risk-adjusted basis.
Price Comparison
Return Comparison
Excess Return
Return Metrics
Metric
CSCO
SPY
Excess/Diff.
Total Return
63.46%
24.38%
39.08%
Annualized Return
68.04%
26.95%
41.10%
Risk Metrics
Metric
CSCO
SPY
Ratio/Diff.
Annualized Volatility
22.84%
19.93%
1.15x
Max Drawdown
17.46%
18.75%
0.93x
Sharpe Ratio
2.85
1.20
1.65
Relative Performance Metrics
Metric
Value
Interpretation
Evaluation
Beta
0.89
Similar to market
Medium Volatility
Annualized Alpha
36.07%
Positive Alpha
Good
Information Ratio
2.80
High IR
Excellent
Correlation Coeff.
0.77
Moderately Correlated
Clear Link
R-Squared
59.69%
Moderate Explanatory Power
Mostly Market Driven
Market Capture Ratios
Metric
Value
Interpretation
Up Capture Ratio
105.96%
Outperforms in up markets
Down Capture Ratio
74.57%
Falls less than market